correlation with different sample range

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vytama
Posts: 72
Joined: Wed Dec 19, 2012 11:05 am

correlation with different sample range

Postby vytama » Wed Dec 19, 2012 11:18 am

Hello,
I am new to Eviews. (using 7). I have two series (x and y) with sample range 1990m1 to 1991m12. I want to find the highest correlation between two series by keeping y fixed with range of 1991m1 to 1991m12 and moving series x 1 month back: range 1990m12 to 1991m11, and so on untill 12 months back. My question is how can set these separate ranges for each series? thanks

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

Re: correlation with different sample range

Postby EViews Gareth » Wed Dec 19, 2012 11:33 am

Rather than changing the sample, just lag X.

So first do the correlation between Y and X(-1). Next do the correlation between Y and X(-2), and so on...

vytama
Posts: 72
Joined: Wed Dec 19, 2012 11:05 am

Re: correlation with different sample range

Postby vytama » Wed Dec 19, 2012 12:04 pm

Thank you for quick response. I tried using lags, however I get different result in excel. Just to confirm, my sample range is1990m1 to 1991m12. For lag(-1), in excel I have x(1990m12 to 1991m11) and y stays fixed at (1991m1 to 1991m12). for lag (-2) x is (1990m11 to 1991m10) and y stays fixed at (1991m1 to 1991m12). Is eviews using the same logic?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: correlation with different sample range

Postby EViews Gareth » Wed Dec 19, 2012 12:28 pm

Yes.


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