Cross-correlation and Auto-correlation for panel dataset

Hi all, I would like to computer the cross correlation and autocorrelation function in a panel dataset.

Say I have dataset of time=10 in which 150 persons are monitored. For each person I have two variables x and y, id (telling me the person id) and time (telling the the time shot of the observation). I would like to computer the autocorrelation of x and the cross correlation between x and y. Using the commands autocorr(x) and crosscorr(x,y) would clearly produce a wrong result because matlab does not recognize the panel nature of the dataset, and it would consider the whole vectors x and y as a time series ignoring that it is indeed a time series but for different individuals . Anyone can help me? Thank you

Simone

[Florian Floh]

Please show us your dataset, or your code that you have so far ;)

Answer 1

[UDAYA PEDDIRAJU]

To compute the autocorrelation and cross-correlation for a panel dataset in MATLAB, you can loop through each individual and calculate the correlations separately. Here's an example of how you can do this:

% Sample data generation
numPersons = 150;
timePoints = 10;
id = repmat((1:numPersons)', timePoints, 1);
time = repmat((1:timePoints)', numPersons, 1);
x = rand(numPersons * timePoints, 1); % Random variable x
y = rand(numPersons * timePoints, 1); % Random variable y

% Initialize arrays to store results
autoCorrResults = zeros(numPersons, 1);
crossCorrResults = zeros(numPersons, 1);

% Loop through each individual
for personId = 1:numPersons
    % Extract data for the current individual
    x_person = x(id == personId);
    y_person = y(id == personId);

    % Compute autocorrelation for x
    [autoCorr, lags] = autocorr(x_person);
    autoCorrResults(personId) = autoCorr(2); % Store lag 1 autocorrelation

    % Compute cross-correlation between x and y
    [crossCorr, lags] = crosscorr(x_person, y_person);
    crossCorrResults(personId) = crossCorr(2); % Store lag 1 cross-correlation
end

% Display results
disp('Autocorrelation results:');
disp(autoCorrResults);
disp('Cross-correlation results:');
disp(crossCorrResults);