SDIFF Subcommand (CCF command)

If the series exhibits seasonal or periodic patterns, you can use SDIFF to seasonally difference the series before obtaining cross-correlations.

  • The specification on SDIFF indicates the degree of seasonal differencing and can be 0 or any positive integer.
  • If SDIFF is specified without a value, the degree of seasonal differencing defaults to 1.
  • The number of seasons used in the calculations decreases by 1 for each degree of seasonal differencing.
  • The length of the period used by SDIFF is specified on the PERIOD subcommand. If the PERIOD subcommand is not specified, the periodicity established on the TSET or DATE command is used (see the PERIOD subcommand).

Example

CCF VARIABLES = VAR01 WITH VAR02 VAR03
  /SDIFF=1.
  • In this example, one degree of seasonal differencing using the periodicity established on the TSET or DATE command is applied to the three series.
  • Two cross-correlation functions are then plotted, one for the pair VAR01 and VAR02, and one for the pair VAR01 and VAR03.