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Rolling window correlation procedure

Author

Listed:
  • Vladimir Arcabic

    (Faculty of Economics and Business, University of Zagreb)

Programming Language

RATS

Abstract

RollCorr RATS procedure calculates a rolling window correlation between two series and saves results in a series . It allows leads and lags in correlation, different window size, and it can plot rolling window correlation on a graph. Rolling window correlation can be computed as a backward, centered, or forward correlation. To use the procedure, it has to be saved in a procedure library, usually "C:...\Estima\WinRATS version" or it has to be called from the program using "source rollcorr.src".

Suggested Citation

  • Vladimir Arcabic, 2017. "Rolling window correlation procedure," EFZG Department of Macroeconomics Software Series 17-01, Faculty of Economics and Business, University of Zagreb.
    • Handle: RePEc:zag:softwr:1701
    as

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    File URL: http://web.efzg.hr/repec/software/software2017-01.zip
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    Keywords

    RATS;

    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

    Statistics

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