rolling correlation
Posted: 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 !
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 !