matrix,stata,correlation , Pairwise correlations over rolling periods ignoring double calculations


Pairwise correlations over rolling periods ignoring double calculations

Question:

Tag: matrix,stata,correlation

I am trying to compute pairwise correlations over rolling windows for n= 40 variables where all rolled pairwise correlations for 2 given variables are saved in a new variable.

My dataset has the following structure:

Date        V1   V2   V3  . . .
01/01/2009  0.3  0.6  0.5
02/01/2009  0.1  0.5  0.2 
03/01/2009  0.7  0.1  0.1
.
.
.

The following code does the trick. However, it fails to ignore the lower diagonal of the correlation matrix (it estimates twice the correlation between vars + once the 1s on the diagonal):

ds (Date), not
gl vars `r(varlist)'

local i = 0
local j = 0

foreach current_variable1 in $vars {
local i = `i'+1 
 foreach current_variable2 in $vars {
local j = `j'+1 
    if (`j' > `i') {
     mvcorr `current_variable1' `current_variable2', ///
     generate(corr_`current_variable1'_`current_variable2') window(60) force

}
}
} 

In particular the if condition on (j > i) intended to capture the doubled calculation of each pairwise correlation fails to do so. Including the if condition in the mvcorr yields only the error message 'no observations'.

What could be the solution for this issue?


Answer:

@William Lisowski debugged your code in a comment, but you can simplify the whole procedure.

Create the tuples beforehand using the user-written command tuples (ssc install tuples).

clear
set more off

*----- example data -----

sysuse auto
keep mpg weight price

gen time = _n
tsset time

*----- what you want -----

tuples price mpg weight, min(2) max(2)

forvalues i = 1/`ntuples' {

    local v1 : word 1 of `tuple`i''
    local v2 : word 2 of `tuple`i''

    mvcorr `tuple`i'', generate(`v1'_`v2') window(10) force
} 

describe

@William's advice leads to the same result:

local i = 0
local j = 0

foreach v1 of varlist `vars' {

    local i = `i' + 1 
    foreach v2 of varlist `vars' {

        local j = `j' + 1 
        if (`j' > `i') {
            mvcorr `v1' `v2', ///
            generate(`v1'_`v2') window(10) force

        }
    }

    local j = 0
} 

describe

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