Dynamic correlation

[basher]

Hello, I would like to request a Rats code for the paper:
Croux, C., Forni, M., and Reichlin, L. (2001) ”A measure of comovement for economic indicators: theory and empirics”, Review of Economics and Statistics 83, 232—-241.
Some Matlab routines to implement this method are available at Mario Forni's webpage: http://morgana.unimore.it/forni_mario/matlab.htm
Thank you.