EViews.com

Hi everyone.

This is my first post in this forum and I am already asking questions. :)

I have two series X, Y, and Z and each one of them has 50 yearly observations. I would like to create a 5-year rolling window for the correlation coefficient for all the possible combinations, but I am struggling with it (I know, I am a newbie...).

I have read this thread, but it seems that that will give me a backward correlation (at each point the statistic give us only the previous 10 years) and I want to use five years of data both before and after. Hope this is clear.

Thanks in advance! :D

Just put a lead on your series.

i.e.

Just put a lead on your series.

i.e.

Code: Select all

@movcor(x(2),y(2),5)

Thanks for your answer. :)

Isn't that leading both series? I guess I don't get how leading both series will give me at each point the correlation for both five years after and before.

Thanks once again.

Sorry, misunderstood. Put a lead of 5 years on both.

Thanks, but still is not working. Even when I use this: It does not give me the correct values (I'm checking with another software). For once, by leading the variable, I am getting rid of the first observations so that does not work.

Maybe this example will clarify what I want: Suppose (annual data) X={x1,x2,x3,x4,x5,x6} and Y={y1,y2,y3,y4,y5,y6} and suppose that I want a two year rolling window (two years before and two years after each observation). Therefore, the series should be Correlation={NA, NA, corr({x1,x2,x3,x4,x5},{y1,y2,y3,y4,y5}), corr({x2,x3,x4,x5,x6},{y2,y3,y4,y5,y6}),NA,NA})}

Please, let me know if you need a numeric example.

Thanks.

Did you check the EViews numbers manually? They seem to work for me:

Isn't working for me...

Can I post the series that I'm trying to work with as well as the result I'm getting and I `correct' one?

Thanks.

Sure

You were right. I used @movcor(y(alpha),x(alpha),2*alpha+1) where alpha is the size of the window and it worked.

Thanks! :)

Does anybody know how to calculate rolling window correlation for even number of years?
thanks.