The TIMESERIES Procedure

The OUTCROSSCORR= data set contains the variables specified in the BY statement as well as the variables listed below. The OUTCROSSCORR= data set records the cross-correlations for each variable specified in a VAR and the CROSSVAR statements.

When the CROSSCORR statement TRANSPOSE=NO option is omitted or specified explicitly, the variable names are related to cross-correlation statistics specified in the CROSSCORR statement options and the variable values are related to the NLAG= or LAGS= option.

_NAME_

variable name

_CROSS_

cross variable name

LAG

time lag

N

number of variance products

CCOV

cross-covariances

CCF

cross-correlations

CCFSTD

cross-correlation standard errors

CCF2STD

an indicator of whether cross-correlations are less than (–1), greater than (1), or within (0) two standard errors of zero

CCFNORM

normalized cross-correlations

CCFPROB

cross-correlation probabilities

CCFLPROB

cross-correlation log probabilities

The preceding cross-correlation statistics are computed for each specified time lag.

When the CROSSCORR statement TRANSPOSE=YES option is specified, the variable values are related to cross-correlation statistics specified in the CROSSCORR statement and the variable names are related to the NLAG= or LAGS= options.

_NAME_

variable name

_CROSS_

cross variable name

_STAT_

cross-correlation statistic name

_LABEL_

cross-correlation statistic label

LAGh

cross-correlation statistics for lag h