nag_tsa_multi_cross_corr (g13dmc) Example Program Results
THE MEANS
---------
4.370 7.868
CROSS-CORRELATION MATRICES
--------------------------
Lag = 1
0.736 0.174
0.211 0.555
Lag = 2
0.456 0.076
0.069 0.260
Lag = 3
0.379 0.014
0.026 -0.038
Lag = 4
0.322 0.110
0.093 -0.236
Lag = 5
0.341 0.269
0.087 -0.250
Lag = 6
0.363 0.344
0.132 -0.227
Lag = 7
0.280 0.425
0.207 -0.128
Lag = 8
0.248 0.522
0.197 -0.085
Lag = 9
0.240 0.266
0.254 0.075
Lag = 10
0.162 -0.020
0.267 0.005
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 :