correl |

Display graphs or tables of residual autocorrelations and cross-correlations.

Displays the auto and cross-correlation functions of the estimated system residals.

Syntax

system_name.correl(n, options)

You must specify the largest lag n to use in the computations. The default is to display a graphical view of the auto and cross-correlations.

Options

graph (default) | Display correlograms (graphs). |

bylag | Display table of results grouped by lag. |

bser | Display table of results grouped by series. |

factor=chol | Factorization by the inverse of the Cholesky factor of the residual covariance matrix (if estimated by ARCH). |

factor=cor | Factorization by the inverse square root of the residual correlation matrix (if estimated by ARCH; Doornik and Hansen, 1994). |

factor=cov | Factorization by the inverse square root of the residual covariance matrix (if estimated by ARCH; Urzua, 1997). |

name=arg | Save matrix of results. |

prompt | Force the dialog to appear from within a program. |

p | Print the correlograms. |

Examples

sys.correl(24)

Displays the correlograms of the SER1 series for up to 24 lags.

Cross-references

See “Correlogram” and “Cross Correlations and Correlograms” for related discussion of autocorrelation and cross-correlation functions, respectively. See also “Residual Tests” for related testing in a VAR context.