Re: [Gretl-users] Rolling correlation between time series

Am 17.01.2017 um 08:06 schrieb Riccardo (Jack) Lucchetti: > On Mon, 16 Jan 2017, Tomas Nilsson wrote: > >> Is there an option to compute the rolling correlation between multiple >> time series? I'm seeing some mentioning on this topic in 2016 between >> Fernando and Sven but not sure what happened to it. Thanks I re-checked, and I think what happened is that Fernando found a solution for himself ;-) > you mean, given n series, return n*(n+1) series of covariances computed > on a fixed observation window? > > If so, try this: Jack, sorry, but your code must look just horrible for regular gretl users. Why wouldn't a simple loop be enough? (untested:) <hansl> list X = mylist # define variable list here N = 10 # set how many subsamples here loop N corr(X) # prints out the correlation matrix smpl +1 +1 # moves the subsample forward by one endloop </hansl> If you want to capture the numbers for further use, you can do that with an array of matrices: (untested) <hansl> matrices MC = array(N) loop i = 1..N matrix MC[i] = mcorr( {X} ) smpl +1 +1 endloop </hansl>