rolling correlation

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Emily89
Posts: 8
Joined: Mon Jun 17, 2013 8:36 am

rolling correlation

Postby Emily89 » Tue Jul 09, 2013 7:43 am

Hi!

Now I am analysing the change of correlation between two series during year 1995 to 2012. I find that the rolling correlation could explain the evolution of correlation over time. But I don't know how to do it in Eviews. I search the forum and know "genr corr1 = @movcor(gdp, trade, 10)" is an example commend. Why should them use "10" here? How to determine this number if I use quarterly data?

I will appreciate if anyone could explain it to me. Thank you so much !

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