Say I have a time series called y. I generate lags of it using the commands:
generate ly = L.y
generate l2y = L2.y
generate l3y = L3.y
and so forth. I then produce a table of correlations of the original variable against its lags, using the command:
correlate y ly l2y l3y...
and so forth. I would like to know why the correlations reported by the correlate command are different from the autocorrelations reported by the command:
corrgram y
Thanks!
generate ly = L.y
generate l2y = L2.y
generate l3y = L3.y
and so forth. I then produce a table of correlations of the original variable against its lags, using the command:
correlate y ly l2y l3y...
and so forth. I would like to know why the correlations reported by the correlate command are different from the autocorrelations reported by the command:
corrgram y
Thanks!
Comment