DIFF Subcommand (CCF command)
DIFF
specifies
the degree of differencing used to convert a nonstationary series
to a stationary one with a constant mean and variance before obtaining
cross-correlations.
- You can specify 0 or any positive integer on
DIFF
. - If
DIFF
is specified without a value, the default is 1. - The number of values used in the calculations decreases by 1 for each degree of differencing.
Example
CCF VARIABLES = VARX VARY
/DIFF=1.
- This command differences series VARX and VARY before calculating and plotting the cross-correlation function.