Calculate Correlations (and Covariances) from values, weights, and transition probabilities

[robertdkirkby]

There is now a dedicated function for autocorrelations and autocovariances. It can also handle t-period correlations and rank transitions.

(Auto)Correlations and Transition Probabilities (InfHorz)

EvalFnOnAgentDist_CorrTransProbs_InfHorz() is a new command for computing autocorrelations and transition probabilites. Say you have FnsToEvaluate.A and FnsToEvaluate.E. ‘A’ is assets and takes a large number of possible values (hundreds of values), while ‘E’ is employment and takes two possible values. If you run EvalFnOnAgentDist_CorrTransProbs_InfHorz() you will get the autocorrelations for both of these. By default the only thing computed is one-period autocorrelation; it also reports the …