developing correlation series

[mfriedrich84]

Hey to all users,

I want to create a time series of the evolution of the correlation between two variables. It should be something like that:
'Austria
'set sample range to original
smpl 1980M01 2009M12
for !horizon=1 to 360

'define recursive sample range
smpl 1980M01 1980M01+!horizon-1
series cor(cycle_aus_total,cycle_bel_total) But this code doesn't exist.
next

Well, every month I want to re-estimate the correlation and create a new observation to see if there is a convergence to a special correlation level or not.
Does somebody have a hint for me?

thanks
mfriedrich84

[tchaithonov]

Perhaps you create a group for the two variables, and do object-specific correlation, copy the correlation value from the table, and then save it into a table/vector?