The OUTCROSSCORR= data set contains the variables specified in the BY statement as well as the variables in the following list. The OUTCROSSCORR= data set records the cross-correlations for each variable specified in a VAR and the CROSSVAR statements.
When the CROSSCORR statement TRANSPOSE=NO option is omitted or specified explicitly, the variable names are related to cross-correlation statistics specified in the CROSSCORR statement options and the variable values are related to the NLAG= or LAGS= option.
_NAME_variable name
_CROSS_cross variable name
LAGtime lag
Nnumber of variance products
CCOVcross-covariances
CCFcross-correlations
CCFSTDcross-correlation standard errors
CCF2STDan indicator of whether cross-correlations are less than (–1), greater than (1), or within (0) two standard errors of zero
CCFNORMnormalized cross-correlations
CCFPROBcross-correlation probabilities
CCFLPROBcross-correlation log probabilities
The preceding cross-correlation statistics are computed for each specified time lag.
When the CROSSCORR statement TRANSPOSE=YES option is specified, the variable values are related to cross-correlation statistics specified in the CROSSCORR statement and the variable names are related to the NLAG= or LAGS= option.
_NAME_variable name
_CROSS_cross variable name
_STAT_cross-correlation statistic name
_LABEL_cross-correlation statistic label
LAGh cross-correlation statistics for lag h