Thanks the advice; t'was very helpful. Now to another dumb question but with this time with a twist. I want to compute the correlation (of change) between two time series of different frequencies, monthly oil prices and quarterly manufacturing shipments. I would interpret the recommendation from my old econometrics textbook to turn the monthly data into quarterly; and then compute the rolling correlation of change. According to the new age, is there a better way to do this? Is there a package in GRETL that allows users to examine time series patterns with data of different frequencies?

On Mon, Jan 16, 2017 at 7:49 PM, Tomas Nilsson <tknilsso@gmail.com> 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