obtaining cross correlations at different lags/leads
Posted: Wed Jun 28, 2006 2:49 pmHello,
I would like to obtain cross correlations at different lags/leads. I thought about using oo_.autocorr{i}(x,y) where i=1...5 and x and y are indices of the model variables, so that for example oo_.autocorr{1}(1,2) will give me the cross correlation between the 1st variable at time t and the second variable at time t-1. Is that right? Are where more intelligent ways of the obtaining such cross correlations?
Thank you.
Victor
I would like to obtain cross correlations at different lags/leads. I thought about using oo_.autocorr{i}(x,y) where i=1...5 and x and y are indices of the model variables, so that for example oo_.autocorr{1}(1,2) will give me the cross correlation between the 1st variable at time t and the second variable at time t-1. Is that right? Are where more intelligent ways of the obtaining such cross correlations?
Thank you.
Victor