Using correlation coefficients as x in a regression?? I was reading an article in the Wall street journal and the author was using a rolling correlation coefficient, on a set of variables, as his predictor variable in a linear regression. Basically it was a uni-variate linear regression , y= mx+b and x was the Pearson correlation coefficient calculated using a 30 day window on two random variables. This seems "wrong" but I am not sure that it is. I don't know of any regression assumption this violates but at the same time it just doesn't seem like you can do this sort of thing. What do you think ?