obtaining cross correlations at different lags/leads

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obtaining cross correlations at different lags/leads

Postby buktopc » Wed Jun 28, 2006 2:49 pm

Hello,

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
buktopc
 
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