10.0 AUTOC Command
The AUTOC command allows calculation of the autocorrelation and
cross correlation of data, and differenced data for up to 8 series. The
traditional statistical formulas are used in contrast to the Box-Jenkins
formulas which are used in the BJIDEN and BTIDEN commands.
Form of the AUTOC command:
B34SEXEC AUTOC options parameters$
VAR var1 var2 ... $
B34SEEND$
The VAR sentence is required.
AUTOC options:
AUTO - Calculate autocorrelations only.
CROSS - Calculate cross correlations only.
BOTH - Calculate the autocorrelations and cross correlations.
Note that if CROSS or BOTH are given, there must be an
even number of series given in the VAR sentence.
AUTOC parameters:
DIF=n Sets differencing.
n=0 No differencing. This is the default.
n=1 Up to first differencing.
n=2 Up to second differencing.
n=3 Only first differencing.
n=4 Only second differencing.
PERIOD=j Number of periods of autocorrelations and cross
correlations. The max value of PERIOD = 60. If PERIOD is
not set, B34S sets to maximum of 60 and (NOOBS/4).
IBEGIN=n1 Sets the observation number for the first time period.
Default=1.
IEND=n2 Sets the last time period. Default = last observation in
current dataset.
VAR sentence:
The VAR sentence lists B34S variables to be used in the analysis. A
maximum of 8 variables is allowed. The number of B34S series names
supplied must be even if the CROSS or BOTH options are used.
Sample AUTOC setup:
B34SEXEC AUTOC BOTH PERIOD=36$
VAR X1 X2 X3$
B34SEEND$