expression of time varying sample within formular

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merito
Posts: 8
Joined: Sun Jan 21, 2018 12:40 am

expression of time varying sample within formular

Postby merito » Mon Oct 26, 2020 7:45 pm

Hi Team,

I am trying to compute time varying correaltions between x and y series via formular @cor(x,y, sample), say @now-100 ,@now
however once the time periods has been set , the formular automatically expressed as @cor(x,y, "8/04/2020 10/27/2020"), and does no change anymore as workfile sample range changes.

I can't find out which expression is able to fix such problem, please help.

with many thanks !

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: expression of time varying sample within formular

Postby EViews Gareth » Mon Oct 26, 2020 8:11 pm

I think what you're saying is that you want to create a formula object with contains a single, repeated, value, where that value is equal to the correlation between the last 100 observations, and every day when you open the workfile, that value will be re-calculated, since the number of observations will have increased by one?

I can't think of a way to do that. Formula objects update when the underlying data changes, they are not dynamic with respect to samples.

You'd be better off writing a quick program that re-calculated the scalar, and just run the program each time.
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merito
Posts: 8
Joined: Sun Jan 21, 2018 12:40 am

Re: expression of time varying sample within formular

Postby merito » Mon Oct 26, 2020 8:23 pm

thanks for resonding so quickly, as i read many blogs in this forum, i think the better solutions would be: @trend to control time varying sample , or directily apply SSpace Kalman filtering to realise time varying values.

Many thanks !


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