Dear Stata users,

I have a time-series dataset of indices with continuously compounded monthly returns. I would like to calculate correlations between those indices over different time-periods, specifically correlations from 1 to 60 months. To specify further, ideally I generate correlations between the indices for 1 month period, 2 month period, 3 month period all the way up to 60 months.

Two ideas:
1. Maybe I could use rangestat and construct a loop that constantly changes the interval in combination with corr or pwcorr. Anyhow, I think I have to create a little program that can be set to a certain interval.

2. Note that the data is continuously compounded returns so that gives the nice characteristic that the return are additive and I can easily create a two month return by just adding two months. So another idea is to create a lot of return series, literally 1 - 60 months and then calculate the correlations within all the specific return series.
For example: generate r_gbond_JPMEMBI_2 = r_gbond_JPMEMBI+r_gbond_JPMEMBI[_n-1] gives the laged two month return
generate r_gbond_JPMEMBI_3 = r_gbond_JPMEMBI+r_gbond_JPMEMBI[_n-2] gives the three month laged return etcetera
Do this for for all variables and then calculate correlations.

The main problem is that I have a lot of indices and thus I need some way to automate the process. Your help would be much appreciated.

A sample of the data with some real estate indices:
Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(r_re_FTSEEPRAREITDEV r_re_FTSEEPRANAREITEU r_re_FTSEEPRANAREITUK r_re_SPGLOBALREIT r_re_MSCIACRE r_re_MSCIWRE)
   -.05162523   -.04030233   -.07434651  -.010409984            .            .
   -.09698088    .01532312   .016828181  -.006122915            .            .
  -.002636437  -.014649783   -.03800836  -.010806148            .            .
    .07515127   .021124316   .010486507   .005307399            .            .
  .0014856636  .0007706555 -.0038241546  .0039621447            .            .
   .021289164  -.017118428   -.03940146   -.01572046            .            .
   -.09736057   -.08761826   -.12379114    -.0487009            .            .
   -.12628321   -.12328941    -.0763804   -.07591192            .            .
    .08007725   .034514215    .07083003    -.0305426            .            .
  -.036439285  -.012624208    .04094776   .015516215            .            .
   .012934634 -.0039319834    .02928039  -.003341476            .            .
    .05312132  -.011827523  -.022934675    .07726614            .            .
    .06833479    .05488331    .05039921    .03074277            .            .
  -.035352755  .0002936297  -.023580836    .05135107            .            .
  -.000463594  -.012422153  .0017770927   .008525574            .            .
   -.03213529   -.05157338   -.08219742  .0017398874            .            .
   -.04967258  -.014533903  -.007557125  -.020859247            .            .
    .06990364 -.0015414078    .03498264    .01519351            .            .
   -.02015444  -.023443414   .008141014  -.002187706            .            .
    .03827149   .005455268    .06047079 -.0021925026            .            .
  .0041388883  -.030362396   -.06078674   .014382467            .            .
    -.0404014   -.04721412  -.030551694   -.00978375            .            .
    .04791783    -.0583634   -.04390069     .0531814            .            .
   -.03872818  -.009711257  -.003732656    .02131665            .            .
  -.021304484   -.05412758   -.08693027   -.02775957            .            .
    -.0424856    -.0468741    -.1220344  -.027480064            .            .
   .009562914  .0019252073   .072584495   .007685776            .            .
     .1131023   .002231083   .034344565   .025822785            .            .
    -.0495815   -.08152438   -.08682602  -.010626207            .            .
   -.05037133   -.07346926   -.13674332   .019087717            .            .
  -.010274403   -.06089723   -.07246526  -.025602397            .            .
  -.034191713   .004955563     .1497641   .002737132            .            .
   .006457075   .028832454    .10574977   .007958157            .            .
   -.02656632    .04643786   .031800687    .01900884            .            .
  -.020543424 -.0013953436    .04385412   .015031768            .            .
   .020943286   .024060924    .09868106    .04648336            .            .
     .0818183    .09048246    .07977673    .04772651            .            .
   .066127084    .04261853     .0255801   .064137064            .            .
    .07237468    .01815754   -.02513874  -.031465627            .            .
    .05364956    .06155997     .1080012   -.00320171            .            .
  -.034886785    .05233388    .04873068   .022373874            .            .
   .008627071    .07669845    .04605032    .03037035            .            .
     .0577249    .05947014    .09811786   .028325785            .            .
   .006444008  -.026136676   .016754149   .014029594            .            .
    .08371858    .04114962    .04290646  -.006337878            .            .
   -.04187677  -.010553096    .00249387   -.03855579            .            .
    .16559055    .05578623    .04673462   .018466195            .            .
   .030681754    .08417988    .04031807     .0415403            .            .
    -.0347584  -.033512957   -.02060734   .004775558            .            .
  -.070866525   -.08062889   -.11452986  -.018269738            .            .
   .002910073 -.0015617495     .0488515   -.01564824            .            .
    .02445207  -.034290295   -.05436609    .01564824            .            .
   -.04485165   -.03810589   -.00605877  -.017950874            .            .
   .032447837    .03217828    .06761778  -.007271558            .            .
   .014973599  -.013641444  -.019237615            0            .            .
  -.011113128   -.05855602   -.05561113   -.02366478            .            .
  .0027238606  -.011178024  -.014531055  -.026503013            .            .
   -.09054806  .0006460059   -.02752384   -.03767325            .            .
  -.002764932 -.0012924293   .024805296    .04202373            .            .
    -.0369584   -.03522503   -.04349966  -.009596165   -.06684145   -.05341139
    .04304272   .004256598    .05140394   .018412888    .05022925    .05715055
     .0346217  -.018386843    .02131401  .0020632744   .032035083    .03835907
  -.006450824    .01666528  -.014609987   .001030043  -.009019227  -.008614245
    .04747656    .06092658    .08535226    .03920091    .07294538   .064065285
   .003373989  -.012116317   .019856393   .006086045 -.0025875715  -.004686992
    .03857429   .026895154   .036779664    .01739457    .04512326    .04224322
  -.016675556  -.008117751     -.043328 -.0019357967   -.04301436   -.04174399
   .026236955   .002314379   .010788108   .018240506   .027298035   .033819042
  -.009689504   -.01491542     -.048073  -.011641947  -.018526886  -.015360645
   .023249205    .02948238     .0469608  -.004340494    .02835543   .033578184
   .031916488   .015408477   .017759938    .04827602    .04342425    .04266597
    .07536978    .03790414   .014969445   .024265673     .0778997    .08035056
 -.0018794354 -.0021009217  .0033900384   .002394494   -.01664645  -.016978424
  -.005467025  .0003376719     .0197266   .003729956   .030766623    .03186392
   .018238133   .036849286    .07419464  -.001192073    .02325686    .02428326
   .012335464  -.016614353   -.04484114   .012740913   .006434928   .007233497
   .006886047   .005189908   -.01124161   .020688383 -.0039188075   -.00664993
  -.020434516   .003822669     .0496711  .0043165535   -.03581518  -.036806885
   .035818685     .0472013    .06106487    .03941397   .028168617   .026059203
    .03895003   .011070145   -.01109704   .016698992    .05346313    .06301379
    .02509149  .0045031537   -.03730426    .01975738  .0009746955   .009955659
    .06650412    .03038306  -.013185513    .04387296    .07713311    .07902418
   .018218843     .0437549   .037209928    .06901835  -.019192295   -.02232142
  .0026259355    .05952464     .0288322   .016272025    -.0067412   -.01346295
   .013701483   .033215962  -.009717938   .017736511    .02426706    .02666786
  -.036178745  -.008684948  -.015541554  .0040135365   -.06837259  -.072900236
   -.00313087   .001444785    .02455437  -.033988375   .012496928    .02013254
    .07270218   .034385864    .06945988    .02201494    .09985597     .1046073
   .003139996  -.005653358   -.07201187    .03828926  .0009970422  -.003513089
    .02376839    .02484728 -.0012454006     .0377362    .01993028    .02768502
  -.005218891  -.019412985   .006192786  -.013508608   -.08967321   -.07709932
    .04229774    .05505051    .09863796    .06517753    .04383213    .04918788
    -.1564174  -.014045422   .010561975  -.034217957   -.23597524   -.23912807
  -.016179424  -.017168665   -.04480627    .02818553   -.00562699 -.0022510937
  -.017784102   .015152313   .017994784    .02521525   -.04628441   -.04493151
  -.036929812    .07113539     .0919229  -.003706862   -.08083104   -.07937597
   .068319835   .016014604    .01928045  -.006747596    .13670556    .13471763
-.00007750135    .03752572   -.03046367    .01743007   -.01489979  -.017211588
   -.03153246    .01904524    .02752929   -.02402005   -.05507625   -.05464735
   -.04891965  -.006698142  -.020603295   -.00509893   -.10901488   -.11125132
end

Thanks in advance,

Sam