We have a simple panel data set in long form, which has the following structure:
i t x
1 Aug-2011 282
2 Aug-2011 -220
1 Sep-2011 334
2 Sep-2011 126
1 Sep-2012 -573
2 Sep-2012 305
1 Nov-2013 335
2 Nov-2013 205
3 Nov-2013 485
I would like to get the cross-correlation between each i within the time-variable t.
This would be possible by converting the data in wide format. Unfortunately, this approach is not feasible due to the …