EViews.com

Hi again,

as mentioned in other topics, I have a workfile consisting of 8 pools, each including 285 cross-sections and 67 time periods. I want eViews 6 to give me the correlation coefficient between the pools. However, then I mark every group and ask eviews to compute the correlations, its starting to calculate the correlations between every single cross section and any single variable.

How can i tell eviews to give me the correlation between the POOLs, e.g. market_cap_? & leverage_?, where the ? represents the cross section identifyer?

All the best and thanks

Kai

Perhaps it's just me, but I'm not quite certain exactly what your setup is.

From my reading, you have 285 cross-sections and 67 time periods. That defines your pool structure.

The pool is just a collection of cross-section identifiers. Presumably, for a pool (say POOL01), you'll have 285 cross-sections in the pool. For each variable, you'll have 285 individual series, which in pool language, we denote MARKET_CAP_? and LEVERAGE_?.

Now here is where I'm not quite sure what's going on. I don't quite know what you mean by "correlation coefficient between the pools", nor what you mean when you say you have "8 pools". Can you be a bit more specific about what correlations you wish to compute, and what assumptions you are making about variability across cross-sections?

Hi Glenn,

thanks for your answer. Actually I already found the explanation. I had my variables unstacked; now when they are stacked I have no problem in calculating the correlations.

Nevertheless, here is another question ;-) Since OLS regressions are quite sensitive to outliners/extreme values, I want to "winsorize" my variables.

However although I read and know how to do it in cross-section settings, how can you do this in a panel setting? Do you take all the cross sections at one distinct point in time, form your confidence interval and then winsorize? OR do you take a distinct cross section and all of its time periods, form your confidence interval over the time periods and windsorize then ?

Thanks

Kai