Object Reference : Object View and Procedure Reference : Vector
  
 
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.