Overview (PACF command)

PACF displays and plots the sample partial autocorrelation function of one or more time series. You can also display and plot the partial autocorrelations of transformed series by requesting natural log and differencing transformations from within the procedure.

Options

Modification of the Series. You can use the LN subcommand to request a natural log transformation of the series, and you can use the SDIFF and DIFF subcommand to request seasonal and nonseasonal differencing to any degree. With seasonal differencing, you can specify the periodicity on the PERIOD subcommand.

Statistical Output. With the MXAUTO subcommand, you can specify the number of lags for which you want values to be displayed and plotted, overriding the maximum value that is specified on TSET. You can also use the SEASONAL subcommand to display and plot values only at periodic lags.

Basic Specification

The basic specification is one or more series names. For each specified series, PACF automatically displays the partial autocorrelation value and standard error value for each lag. PACF also plots the partial autocorrelations and marks the bounds of two standard errors on the plot. By default, PACF displays and plots partial autocorrelations for up to 16 lags (or the number of lags that are specified on TSET).

Subcommand Order

  • Subcommands can be specified in any order.

Syntax Rules

  • VARIABLES can be specified only once.
  • Other subcommands can be specified more than once, but only the last specification of each subcommand is executed.

Operations

  • Subcommand specifications apply to all series that are named on the PACF command.
  • If the LN subcommand is specified, any differencing that is requested on that PACF command is done on log-transformed series.
  • Confidence limits are displayed in the plot, marking the bounds of two standard errors at each lag.

Limitations

  • A maximum of one VARIABLES subcommand is allowed. There is no limit on the number of series that are named on the list.