Calculate rolling correlation between two variables in a time series
Hi I have a data set which is in the form of a time series with daily averages of data (the first column is the date). I am currently looking at what correlates with one specific variable in the data set (call it column X). I'd like to check if the correlation is time dependent, e.g. if there are periods with OK correlation and other periods with no/low correlation ("switched" on and off for diffe...
aandw