test for constant correlation over time
Posted: Tue Jan 17, 2012 11:18 am
Hi,
Im looking for a way to test correlation changes in multivariate time series. I basically want to examine if the correlation is constant over time. I thought about the Jennrich test. I havent found a way to do it in eViews yet! Any ideas?
thanks
best regards,
Oskar
Im looking for a way to test correlation changes in multivariate time series. I basically want to examine if the correlation is constant over time. I thought about the Jennrich test. I havent found a way to do it in eViews yet! Any ideas?
thanks
best regards,
Oskar