The TIMESERIES Procedure

Cross-Correlation Analysis

Cross-correlation analysis can be performed on the working series by specifying the OUTCROSSCORR= option or one of the CROSSPLOTS= options that are associated with cross-correlation. The CROSSCORR statement enables you to specify options that are related to cross-correlation analysis.

Cross-Correlation Statistics

The cross-correlation statistics for the variable $\text{[math]}$ supplied in a VAR statement and variable $\text{[math]}$ supplied in a CROSSVAR statement are:

LAGS: $\text{[math]}$
N: $\text{[math]}$ is the number of observed products at lag $\text{[math]}$ , ignoring missing values
CCOV: $\text{[math]}$
CCOV: $\text{[math]}$ when embedded missing values are present
CCF: $\text{[math]}$
CCFSTD: $\text{[math]}$
CCFNORM: $\text{[math]}$
CCFPROB: $\text{[math]}$
CCFLPROB: $\text{[math]}$
CCF2STD: $\text{[math]}$

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