Example description

nag_tsa_multi_part_lag_corr (g13dnc) Example Program Results

 PARTIAL LAG CORRELATION MATRICES
 --------------------------------

 Lag =  1
    0.736    0.174
    0.211    0.555

 Lag =  2
   -0.187   -0.083
   -0.180   -0.072

 Lag =  3
    0.278   -0.007
    0.084   -0.213

 Lag =  4
   -0.084    0.227
    0.128   -0.176

 Lag =  5
    0.236    0.238
   -0.047   -0.046

 Lag =  6
   -0.016    0.087
    0.100   -0.081

 Lag =  7
   -0.036    0.261
    0.126    0.012

 Lag =  8
    0.077    0.381
    0.027   -0.149

 Lag =  9
   -0.065   -0.387
    0.189    0.057

 Lag = 10
   -0.026   -0.286
    0.028   -0.173

 Standard error = 1 / SQRT(N) = 0.144

 TABLES OF INDICATOR SYMBOLS
 ---------------------------

 For Lags 1 to 10



Auto-correlation function for series  1

              0.005  : *
        +     0.01   : *
              0.05   : *
   Sig. Level        : - - - - - - - - - -  Lags
              0.05   :
        -     0.01   :
              0.005  :


Cross-correlation function for series  1 and series 2

              0.005  :
        +     0.01   :               *
              0.05   :               *
   Sig. Level        : - - - - - - - - - -  Lags
              0.05   :                 * *
        -     0.01   :                 *
              0.005  :


Cross-correlation function for series  2 and series 1

              0.005  :
        +     0.01   :
              0.05   :
   Sig. Level        : - - - - - - - - - -  Lags
              0.05   :
        -     0.01   :
              0.005  :


Auto-correlation function for series  2

              0.005  : *
        +     0.01   : *
              0.05   : *
   Sig. Level        : - - - - - - - - - -  Lags
              0.05   :
        -     0.01   :
              0.005  :

 Lag     Chi-square statistic     P-value
 ---     --------------------     -------

   1            44.362             0.0000
   2             3.824             0.4304
   3             6.219             0.1834
   4             5.094             0.2778
   5             5.609             0.2303
   6             1.170             0.8830
   7             4.098             0.3929
   8             8.371             0.0789
   9             9.244             0.0553
  10             5.435             0.2455