Cross-correlation matrix

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Gilbril
Posts: 78
Joined: Thu Aug 19, 2010 2:00 pm

Cross-correlation matrix

Unread post by Gilbril »

Dear Tom, I do want to plot a cross-correlation matrix with size n x n. I know there is the command vcv, which only computes covariances. Is there command simular to vcv which computes a cross-correlation matrix ?

thanks in advance
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TomDoan
Posts: 7826
Joined: Wed Nov 01, 2006 4:36 pm

Re: Cross-correlation matrix

Unread post by TomDoan »

Gilbril wrote:Dear Tom, I do want to plot a cross-correlation matrix with size n x n. I know there is the command vcv, which only computes covariances. Is there command simular to vcv which computes a cross-correlation matrix ?

thanks in advance
Use

vcv
# list of series
compute r=%cvtocorr(%sigma)

to get the correlation matrix corresponding to VCV.
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