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st: correlate lag variables
From
Julia <[email protected]>
To
[email protected]
Subject
st: correlate lag variables
Date
Mon, 10 May 2010 10:16:35 +0200
Dear all,
I would like to calculate the correlation between a variable and its
past values. Thus, I use the following command:
. correlate BI L1.BI L2.BI
(obs=225)
| L. L2.
| BI BI BI
-------------+---------------------------
BI|
--. | 1.0000
L1. | 0.0111 1.0000
L2. | 0.0647 0.0161 1.0000
However, if I only ask the correlation for the first lag, my result differs....
. correlate BI L1.BI
(obs=265)
| L.
| BI BI
-------------+------------------
BI|
--. | 1.0000
L1. | 0.0174 1.0000
Why does excluding the second lag affect the correlation between the
variable and its first lag?
Best regards,
Julia
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