cov |

Compute variance measures for the vector. You may compute measures related to Pearson product-moment (ordinary) variance, rank variance, or Kendall’s tau.

Syntax

vector_name.cov(options) [keywords [@partial z1 z2 z3...]]

You should specify keywords indicating the statistics you wish to display from the list below, optionally followed by the keyword @partial and the name of a conditioning matrix. In the matrix view setting, the columns of the matrix should contain the conditioning information, and the number or rows should match the original matrix.

You may specify keywords from one of the four sets (Pearson correlation, Spearman correlation, Kendall’s tau, Uncentered Pearson) corresponding the computational method you wish to employ. (You may not select keywords from more than one set.) Note that the Kendall’s tau measures are not particularly interesting since they generally will be equal, or nearly equal, to 1.

If you do not specify keywords, EViews will assume “cov” and compute the Pearson variance.

Pearson Correlation

cov | Product moment covariance. |

corr | Product moment correlation. |

sscp | Sums-of-squared cross-products. |

cases | Number of cases. |

obs | Number of observations. |

wgts | Sum of the weights. |

Spearman Rank Correlation

rcov | Spearman’s rank covariance. |

rcorr | Spearman’s rank correlation. |

rsscp | Sums-of-squared cross-products. |

cases | Number of cases. |

obs | Number of observations. |

wgts | Sum of the weights. |

Kendall’s tau

taub | Kendall’s tau-b. |

taua | Kendall’s tau-a. |

cases | Number of cases. |

obs | Number of observations. |

wgts | Sum of the weights. |

Uncentered Pearson

ucov | Product moment covariance. |

ucorr | Product moment correlation. |

usscp | Sums-of-squared cross-products. |

cases | Number of cases. |

obs | Number of observations. |

wgts | Sum of the weights. |

Note that cases, obs, and wgts are available for each of the methods.

Options

wgt=name (optional) | Name of series containing weights. |

wgtmethod=arg (default = “sstdev”) | Weighting method (when weights are specified using “weight=”): frequency (“freq”), inverse of variances (“var”), inverse of standard deviation (“stdev”), scaled inverse of variances (“svar”), scaled inverse of standard deviations (“sstdev”). Only applicable for ordinary (Pearson) calculations. Weights specified by “wgt=” are frequency weights for rank correlation and Kendall’s tau calculations. |

df | Compute covariances with a degree-of-freedom correction for the mean (for centered specifications), and any partial conditioning variables. |

outfmt=arg (default= “single”) | Output format: single table (“single”), multiple table (“mult”), list (“list”), spreadsheet (“sheet”). Note that “outfmt=sheet” is only applicable if you specify a single statistic keyword. |

out=name | Basename for saving output. All results will be saved in Sym matrices named using keys (“COV”, “CORR”, “SSCP”, “TAUA”, “TAUB”, “CONC” (Kendall’s concurrences), “DISC” (Kendall’s discordances), “CASES”, “OBS”, “WGTS”) appended to the basename (e.g., the covariance specified by “out=my” is saved in the Sym matrix “MYCOV”). |

prompt | Force the dialog to appear from within a program. |

p | Print the result. |

Examples

vec1.cov corr stat prob

displays a table containing the Pearson correlation, t-statistic for testing for zero correlation, and associated p-value, for the vector VEC1.

vec1.cov taub taustat tauprob

computes the Kendall’s tau-b, score statistic, and p-value for the score statistic.

Cross-references

For simple forms of the calculation see
@cov.