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 supplied in a VAR statement and variable supplied in a CROSSVAR statement are:

LAGS

N

is the number of observed products at lag , ignoring missing values

CCOV

CCOV

when embedded missing values are present

CCF

CCFSTD

CCFNORM

CCFPROB

CCFLPROB

CCF2STD