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Econometrics Procedures
 

Time Series Analysis Package

OUTCROSSCORR Object

The OUTCROSSCORR object collects output from a CROSSCORR object.

Table 5 summarizes the methods that are associated with the OUTCROSSCORR object.

Table 5: Methods of the OUTCROSSCORR Object

Method Description
Collect Collect the results of a CROSSCORR object
nrows Get the current row count from the OUTCROSSCORR object


Figure 4 diagrams the methods of the OUTCROSSCORR object.

Figure 4: OUTCROSSCORR Data Flow

OUTCROSSCORR Data Flow


OUTCROSSCORR Methods

OUTCROSSCORR.Collect Method

  • rc=obj.Collect (CROSSCORRObj);

Collects the results from a CROSSCORR object and saves them to a table.

Arguments

You must specify the following input argument:

CROSSCORRObj

is a character string that specifies the name of the CROSSCORR object to use as the source of the cross-correlation and cross-covariance analysis results.

OUTCROSSCORR.nrows Attribute

  • nrows=obj.nrows ();

Gets the current row count from the OUTCROSSCORR object.

Arguments

There are no arguments associated with this method.

Output Table Schema

The collector object, OUTCROSSCORR, collects the results of a CROSSCORR object.

OUTCROSSCORR

collects the results of a CROSSCORR object. The output table contains the columns that are shown in Table 6.

Table 6: OUTCROSSCORR Output Table Contents

Column Name Column Content Statistics Used to Calculate Content
_NAME_ Variable name N/A
_CROSS_ Cross variable name N/A
LAG Array of time lags h element-of StartSet negative upper H comma ellipsis comma 0 comma ellipsis comma upper H EndSet
N Number of variance products upper N Subscript h, the number of observed products at lag h, ignoring missing values
MEAN Mean of variable
CROSSMEAN Mean of cross variable
CCOV Array of cross-covariance estimates, with 2 times sans-serif-italic nlag plus 1 entries ModifyingAbove gamma With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis equals StartLayout Enlarged left-brace 1st Row 1st Column StartFraction 1 Over upper N EndFraction sigma-summation Underscript t equals h plus 1 Overscript upper T Endscripts left-parenthesis x Subscript t Baseline minus x overbar right-parenthesis left-parenthesis y Subscript t minus h Baseline minus y overbar right-parenthesis 2nd Column 0 less-than-or-equal-to h less-than upper T 2nd Row 1st Column StartFraction 1 Over upper N EndFraction sigma-summation Underscript t equals StartAbsoluteValue h EndAbsoluteValue plus 1 Overscript upper T Endscripts left-parenthesis x Subscript t minus StartAbsoluteValue h EndAbsoluteValue Baseline minus x overbar right-parenthesis left-parenthesis y Subscript t Baseline minus y overbar right-parenthesis 2nd Column negative upper T less-than h less-than 0 EndLayout where upper N equals upper T if adjscale is 0, upper N equals upper N Subscript h if adjscale is 1, and upper N equals upper T if adjscale is 2. Or ModifyingAbove gamma With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis equals StartLayout Enlarged left-brace 1st Row 1st Column StartFraction 1 Over upper N EndFraction sigma-summation Underscript t equals h plus 1 Overscript upper T Endscripts left-parenthesis x Subscript t Baseline minus x overbar right-parenthesis left-parenthesis y Subscript t minus h Baseline minus y overbar right-parenthesis 2nd Column 0 less-than-or-equal-to h less-than upper T 2nd Row 1st Column StartFraction 1 Over upper N EndFraction sigma-summation Underscript t equals StartAbsoluteValue h EndAbsoluteValue plus 1 Overscript upper T Endscripts left-parenthesis x Subscript t minus StartAbsoluteValue h EndAbsoluteValue Baseline minus x overbar right-parenthesis left-parenthesis y Subscript t Baseline minus y overbar right-parenthesis 2nd Column negative upper T less-than h less-than 0 EndLayout when embedded missing values are present, where upper N equals upper N Subscript h if adjscale is 0, upper N equals upper N Subscript h if adjscale is 1, and upper N equals upper T if adjscale is 2.
CCF Array of cross-correlation estimates, with 2 times sans-serif-italic nlag plus 1 entries ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis equals ModifyingAbove gamma With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis slash StartRoot ModifyingAbove gamma With caret Subscript x Baseline left-parenthesis 0 right-parenthesis ModifyingAbove gamma With caret Subscript y Baseline left-parenthesis 0 right-parenthesis EndRoot
CCFSTD Array of cross-correlation standard errors, with 2 times sans-serif-italic nlag plus 1 entries normal upper S normal t normal d left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis equals 1 slash StartRoot upper N 0 EndRoot
CCF2STD Array of indicators of sample cross-correlation outside 2 standard errors, with 2 times sans-serif-italic nlag plus 1 entries normal upper F normal l normal a normal g left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis equals StartLayout Enlarged left-brace 1st Row 1st Column 1 2nd Column ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis greater-than 2 normal upper S normal t normal d left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis 2nd Row 1st Column 0 2nd Column minus 2 normal upper S normal t normal d left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis less-than ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis less-than 2 normal upper S normal t normal d left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis 3rd Row 1st Column negative 1 2nd Column ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis less-than minus 2 normal upper S normal t normal d left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis EndLayout
CCFNORM Array of normalized cross-correlations, with 2 times sans-serif-italic nlag plus 1 entries normal upper N normal o normal r normal m left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis equals ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis slash normal upper S normal t normal d left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis
CCFPROB Array of cross-correlation probabilities, with 2 times sans-serif-italic nlag plus 1 entries normal upper P normal r normal o normal b left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis equals 2 left-parenthesis 1 minus normal upper Phi left-parenthesis StartAbsoluteValue normal upper N normal o normal r normal m left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis EndAbsoluteValue right-parenthesis right-parenthesis
CCFLPROB Array of cross-correlation log probabilities, with 2 times sans-serif-italic nlag plus 1 entries normal upper L normal o normal g normal upper P normal r normal o normal b left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis equals minus log Subscript 10 Baseline left-parenthesis normal upper P normal r normal o normal b left-parenthesis ModifyingAbove rho With caret Subscript x comma y Baseline left-parenthesis h right-parenthesis right-parenthesis


Last updated: July 09, 2026