Overview (CCF command)

CCF displays and plots the cross-correlation functions of two or more time series. You can also display and plot the cross-correlations of transformed series by requesting natural log and differencing transformations within the procedure.

Options

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

Statistical Display. You can control which series are paired by using the keyword WITH. You can specify the range of lags for which you want values displayed and plotted with the MXCROSS subcommand, overriding the maximum specified on TSET. You can also display and plot values at periodic lags only using the SEASONAL subcommand.

Basic Specification

The basic specification is two or more series names. By default, CCF automatically displays the cross-correlation coefficient and standard error for the negative lags (second series leading), the positive lags (first series leading), and the 0 lag for all possible pair combinations in the series list. It also plots the cross-correlations and marks the bounds of two standard errors on the plot. By default, CCF displays and plots values up to 7 lags (lags −7 to +7), or the range specified on TSET.

Subcommand Order

  • Subcommands can be specified in any order.

Syntax Rules

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

Operations

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

Limitations

  • A maximum of 1 VARIABLES subcommand. There is no limit on the number of series named on the list.