Re: st: Rolling window correlations for all possible pairs of variables

[Maarten Buis <maartenlbuis@gmail.com>]

On Mon, Aug 13, 2012 at 1:30 PM,  <A.C.Tuncer@lse.ac.uk> wrote:
> This is very helpful and works well, however I receive an error message when a pair of variables do not have any overlapping observations. Say var1 has observations in period 1900-1960, whereas var2 has observations in 1970-2000. Thus as it is not possible to calculate the corr, the calculations simply stop. Is there any way to force the do-file keep calculating?

replace the block:

else {
    use `orig', clear
    rolling r(rho), window(10) saving(`temp', replace) : ///
        cor ``i'' ``j''
    use `temp', clear
    rename _stat_1 r_``i''_``j''
    merge 1:1 start using `tofill'
    assert _merge == 3
    drop _merge
    save `tofill', replace
}

with:

else {
    use `orig', clear
    capture rolling r(rho), window(10) saving(`temp', replace) : ///
        cor ``i'' ``j''
    if !_rc {
        use `temp', clear
        rename _stat_1 r_``i''_``j''
        merge 1:1 start using `tofill'
        assert _merge == 3
        drop _merge
        save `tofill', replace
    }
}

Hope this helps,
Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------

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