Is it possible to calculate simple correlation coefficient( not autocorreltioan) and its SIGNIFICNCE LEVEL between two series in RATS? Thanks.
sincerely,
msrahman.
simple correlation coeficient
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TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
Re: simple correlation coeficient
you can compute it in many ways. For instance:msrahman wrote:Is it possible to calculate simple correlation coefficient( not autocorreltioan) and its SIGNIFICNCE LEVEL between two series in RATS? Thanks.
sincerely,
msrahman.
cmom(corr)
# x y
disp %cmom(1,2)
As to the significance, what assumptions do you want to make? The standard asymptotics are that sqrt(%nobs)*rho~N(0,1) under the null of no correlation. You could also look at the F-statistic from a LINREG to Y on CONSTANT and X (or X on CONSTANT and Y) which will give a similar, but not identical value.