cortab function

Cross--sectional correlation matrix

Computes the cross--sectional correlation matrix

cortab(x, grouping, groupnames = NULL, value = "statistic", ...)

Arguments

• x: an object of class pseries
• grouping: grouping variable,
• groupnames: a character vector of group names,
• value: to complete,
• ...: further arguments.

Returns

A matrix with average correlation coefficients within a group (diagonal) and between groups (off-diagonal).

Examples

data("Grunfeld", package = "plm")
pGrunfeld <- pdata.frame(Grunfeld)
grp <- c(rep(1, 100), rep(2, 50), rep(3, 50)) # make 3 groups
cortab(pGrunfeld$value, grouping = grp, groupnames = c("A", "B", "C"))