The OUTCROSSCORR= data set contains the variables specified in the BY statement as well as the variables listed below. The OUTCROSSCORR= data set records the cross-correlations for each variable specified in a VAR and the CROSSVAR statements.
When the CROSSCORR statement TRANSPOSE=NO option is omitted or specified explicitly, the variable names are related to cross-correlation statistics specified in the CROSSCORR statement options and the variable values are related to the NLAG= or LAGS= option.
variable name
cross variable name
time lag
number of variance products
cross-covariances
cross-correlations
cross-correlation standard errors
an indicator of whether cross-correlations are less than (–1), greater than (1), or within (0) two standard errors of zero
normalized cross-correlations
cross-correlation probabilities
cross-correlation log probabilities
The preceding cross-correlation statistics are computed for each specified time lag.
When the CROSSCORR statement TRANSPOSE=YES option is specified, the variable values are related to cross-correlation statistics specified in the CROSSCORR statement and the variable names are related to the NLAG= or LAGS= options.
variable name
cross variable name
cross-correlation statistic name
cross-correlation statistic label
cross-correlation statistics for lag h