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st: rolling covariance
Hi,
I need help writign a little program/do file that will do the following (so
far i've been unsuccessful):
I have panel data with about 3000 individuals observed over on average 15
years, unbalanced panel.
I need to see how sums of covariances b/w individuals changed over time.
Specifically, I need to compute for each 5 year block, the sum of
covariances across all individuals within the sample, where
cov_t(y_it, y_jt)=(1/5)*sum_t{1 to 5} (y_it-y_ibar)(y_jt-y_jbar), where i
and j are individuals
so I take individuals i and j and compute their covariance of income over 5
year period, and then I take i and m and then i and n ... and thus, for all
individuals in the sample, and then I need to sum over those cov and do the
same for the next 5 years.
Any help on programming this?
thank you,
Olga
Olga Gorbachev Melloni
Ph.D. student in Economics at Columbia University
(212)866-6091
502 W122 Street, apt. 62
NY, NY 10027
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