Autocorrelations and Crosscorrelations

Creates and plots the autocorrelation and partial autocorrelation functions; if crosscorrelations are requested, the crosscorrelation function for all pairs of continuous dependent variables is also computed. Results include the autocorrelations, their standard errors, the so-called Box-Ljung statistic, and the significance level of that statistic.

Element Name Description
General
Number of lags Enter a value in the Number of lags box for the maximum number of lags for which the autocorrelations are to be computed.
p, for highlighting Specifies a p value for highlighting significant autocorrelations (significant Box-Ljung statistic).
White noise standard errors Creates the standard errors under the assumption that the series is a white noise process.
Creates partial autocorrs Select this option to compute the partial autocorrelation functions for the selected variables.
Cross-correlations Select this option to compute the cross-correlations for all pairs of variables in the list of variables selected for the analysis. The crosscorrelations are computed for a lag of -k through +k, where k is the number specified in the Number of lags field.
2D Lagged Scatterplots
Lagged 2D scatterplot Creates 2D Scatterplots for each pair of variables.
Plots first var with lag Specifies a value of the lag that should be used when plotting the first variable in each scatterplot.
Labels points in scatterplots Select this option to label points in the scatterplot with case numbers or names (if available).
Missing Data
Replace missing data Specifies how missing data is to be replaced. Missing data can be replaced by the overall mean, interpolated from adjacent points, replaced by the mean or median of N adjacent points (on both sides of the hole), or estimated (predicted) from linear trend regression.

 Note that as long as the missing data are at the end of the series (trailing missing data) or the beginning of the series (leading missing data), the missing data will simply be ignored.
Number of adjacent points Applicable if missing data are replaced by the mean or median of N adjacent points; specify N.

 The missing data are replaced by the mean or median computed from the N adjacent points on both sides of the hole of missing data.