Skip to content
Prev 177792 / 398502 Next

Cross-Correlation function (CCF) issues

Sorry, my bad, i did not mean to 'be mean'.
Here are the first five observations for three variables (dr1, dr2 and doil)

dr1
  1996-01-02    1996-01-03    1996-01-04    1996-01-05    1996-01-08 
 0.0005814396 -0.0023725000 -0.0072835915  0.0074536448 -0.0007004221 

dr2
   1996-01-03    1996-01-04    1996-01-05    1996-01-08    1996-01-09 
-0.0029539396 -0.0049110915  0.0147372363 -0.0081540669 -0.0003020745 

do1
1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08 
      0.08       0.01       0.17      -0.03       0.00 

As you can see, dr2 is nothing but the 1st difference of dr1. In my case,
I'm trying to find out the cross-correlation between the two variables do1
and dr1 up to their 10th lag (i.e. do1 with do2, do3, ...,
do10,dr1,dr2,...,dr10, and the same for dr1).

Hope it helps,
Marco
David Winsemius wrote: