Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Corrgram does not give the same result as coefficient of determination
From
"Dr. Yu Chen" <[email protected]>
To
[email protected]
Subject
st: Corrgram does not give the same result as coefficient of determination
Date
Sun, 14 Oct 2012 18:50:49 -0500
Hello,
I wanted to get the autocorrelation coefficient, and I found that
corrgram did not give the same result as given by an OLS regression.
For example, if I regress x(t) on x(t-1) and obtained the r-squared
from the reg command, the square root of the r-sqaure is not the same
as that given by corrgram (or ac). I also used the formula to
calculate the autocorrelation, and the result did not agree with
corrgram (but agreed with the regression method). I used this formula:
Cov(xt, xt-1)/sqrt(Var(xt)*Var(xt-1)).
What is the reason for this discrepancy?
Thank you very much for any insights you may have.
Yu Chen
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/