CCF VARIABLES = VARX VARY
/LN
/DIFF=1
/SDIFF=1
/PERIOD=12
/MXCROSS=25.
- This example produces a plot of the cross-correlation
function for VARX and VARY after a natural log transformation, differencing,
and seasonal differencing have been applied to both series. Along
with the plot, the cross-correlation coefficients and standard errors
are displayed for each lag.
-
LN transforms
the data using the natural logarithm (base e) of each series.
-
DIFF differences
each series once.
-
SDIFF and PERIOD apply one degree of seasonal differencing
with a periodicity of 12.
-
MXCROSS specifies
25 for the maximum range of positive and negative lags for which output
is to be produced (lags −25 to +25).