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Hi,

Im looking for a way to test correlation changes in multivariate time series. I basically want to examine if the correlation is constant over time. I thought about the Jennrich test. I havent found a way to do it in eViews yet! Any ideas?

thanks

best regards,

Oskar

Hi, I just saw your post. I have the same problem right now. Im looking for a way to test correlation changes in multivariate time series. I basically want to examine if the correlation is constant over time. I havent found a way to do it in eViews yet! Have you been able to solve the problem? best ...