nag_tsa_multi_corrmat_partlag (g13dnc) Example Program Results
PARTIAL LAG CORRELATION MATRICES
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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
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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