Postby **skgoh** » Mon Nov 19, 2012 7:11 pm

Dear Gareth

Allow me to ask further question for clarity.. :

I have two series, mi and usi for a sample of 4795.

My understanding of rolling correlation is a overlapping window, meaning that if I set a window of 100, that means I will have first correlation from 1-100, 2-101, 3-102... so on and so forth.. Am I right??

When I run the command (genr corr1=@movcor (mi, usi,100)). I get a series of data for corr1 (attached herewith the workfile). Noted that the first 99 observation in corr1 is missing value. Why??? and at the 100 point, the value of corr1 is -0.231 and follow by some numbers at point 101, 102 and etc.

How does Eviews get -0.231. Is this a correlation from 1-100??

sorry for the lengty question. I try to understand what is @movcov??

I thank you in advance

Soo