cross |

Displays cross correlations (correlograms) for a pair of series.

Syntax

cross(n,options) ser1 ser2 [ser3 ...]

You must specify the number of lags n to use in computing the cross correlations as the first option. EViews will create an untitled group from the specified series and groups, and will display the cross correlation view for 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

cross(36) log(m1) dlog(cpi)

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.makeresid(s) res_std

cross(24) res_std^2 res_std

The first line estimates a GARCH(1,1) model and the second line retrieves the standardized residuals. The third 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

See
“Cross Correlations and Correlograms” for discussion.

See
Group::cross for the equivalent group view command.