ccf(x,y) vs. cor() of x and lagged values of y

On Fri, Oct 12, 2012 at 12:28 AM, Mihnea Constantinescu

Hi



I'm computing the correlation between two time-series x_t and y_t-1
(time-series lagged using the lag(y,-1) function) using the cor() function
and the returned value is different from the value of ccf() function at the
same lag.  Any ideas why this is so?

I'd bet that you'd also find that

cor(x,y) = cor(x, lag(y,-1))

? That's because the effect of "lagging" seems to be discarded by
cor() which only looks at the data itself and doesn't align the
observations. The ccf() result is the one you want.

Cheers,
Michael