Dynamic correlation
Posted: Tue Nov 27, 2012 9:44 am
Hello, I would like to request a Rats code for the paper:
Croux, C., Forni, M., and Reichlin, L. (2001) A measure of comovement for economic indicators: theory and empirics, Review of Economics and Statistics 83, 232-241.
Some Matlab routines to implement this method are available at Mario Forni's webpage: http://morgana.unimore.it/forni_mario/matlab.htm
Thank you.
Croux, C., Forni, M., and Reichlin, L. (2001) A measure of comovement for economic indicators: theory and empirics, Review of Economics and Statistics 83, 232-241.
Some Matlab routines to implement this method are available at Mario Forni's webpage: http://morgana.unimore.it/forni_mario/matlab.htm
Thank you.