Cross Correlations Wizard

You can use the Cross Correlations Wizard on the Time Series Menu to generate cross-correlations for a pair of series. The Wizard generates a CROSS instruction. Selecting the Wizard brings up the following dialog box:

Series 1, Series 2

Use these fields to select the two series.

Save Statistics to

Use this field if you want to save the computed correlations into a new or existing series.

Sample Start and End

Use these fields to set a specific starting and/or ending date for the calculation.

From Lag, To Lag

As noted in the dialog, these select the range of lags/leads that will be used.

Compute Q-Statistic

Degrees Correction

If the Compute Q-Statistic check box is on, RATS will compute and display a set of Q statistics for lack of correlation. The Degrees Correction box is used if you need to correct the degrees of freedom for the Q (this is rare).

Do Graph

If this check box is on, the wizard will generate a @CROSSCORR procedure call which graphs the cross correlations.

With Means Subtracted...

If this check box is on, RATS will compute the correlations on centered (means-subtracted) versions of the two series.

Compute Covariances, not Correlations

Check this box if want cross-covariances, rather than cross-correlations.