Displays cross correlations (correlograms) for a pair of series.
Syntax
group_name.cross(n,options)
You must specify the number of lags n to use in computing the cross correlations as the first option. Cross correlations will be computed for the first two series in the group.
Options
The following options may be specified inside the parentheses after the number of lags:
prompt | Force the dialog to appear from within a program. |
p | Print the cross correlogram. |
Examples
group grp1 log(m1) dlog(cpi)
grp1.cross(36)
displays the cross correlogram between the log of M1 and the first difference of the log of CPI, using up to 36 leads and lags.
equation eq1.arch sp500 c
eq1.makeresids(s) res_std
group g1 res_std^2 res_std
g1.cross(24)
The first line estimates a GARCH(1,1) model and the second line retrieves the standardized residuals. The third line creates a group and the fourth line plots the cross correlogram squared standardized residual and the standardized residual, up to 24 leads and lags. This correlogram provides a rough check of asymmetry in the ARCH effect.
Cross-references