The TIMESERIES Procedure

OUTCROSSCORR= Data Set

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