Time Series - Data and Statistical Services - Princeton University
Time Series - Data and Statistical Services - Princeton University
Time Series - Data and Statistical Services - Princeton University
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xcorr interest unemp, lags(10) xlabel(-10(1)10,grid)<br />
Cross-correlations of interest <strong>and</strong> unemp<br />
-1.00 -0.50 0.00 0.50 1.00<br />
Cross-correlogram<br />
-10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10<br />
Lag<br />
Interest rates have a positive effect on future level of<br />
unemployment, reaching the highest point at lag 8 (four<br />
quarters or two years). In this case, interest rates are positive<br />
correlated with unemployment rates eight quarters later.<br />
-1.00 -0.50 0.00 0.50 1.00<br />
Correlograms: cross correlation<br />
. xcorr interest unemp, lags(10) table<br />
-1 0 1<br />
LAG CORR [Cross-correlation]<br />
-10 0.3297<br />
-9 0.3150<br />
-8 0.2997<br />
-7 0.2846<br />
-6 0.2685<br />
-5 0.2585<br />
-4 0.2496<br />
-3 0.2349<br />
-2 0.2323<br />
-1 0.2373<br />
0 0.2575<br />
1 0.3095<br />
2 0.3845<br />
3 0.4576<br />
4 0.5273<br />
5 0.5850<br />
6 0.6278<br />
7 0.6548<br />
8 0.6663<br />
9 0.6522<br />
10 0.6237<br />
16<br />
PU/DSS/OTR