StatTools: Cross Correlation with Lag for Two Variables

StatTools lags are positive only; to get negative lags, lag both variables or use VBA automation to compute cross-correlation in one step.

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Answer

Applies to: StatTools 5.x and Up

StatTools’ Lag procedure supports only positive lags.

To compute cross-correlation with both positive and negative lags using menu commands, you must run two separate analyses:

Create lagged versions of Y (Y1, Y2, Y3, …) using the Lag procedure, then run Correlation and Covariance between X and Y, Y1, Y2, Y3 to get positive lags.
Create lagged versions of X (X1, X2, X3, …), then run Correlation and Covariance between Y and X, X1, X2, X3 to get negative lags.

If you need this often, a better solution is to use the StatTools automation (VBA) interface.

With VBA, you can automate creation of both positive and negative lags and run the correlation in one step, and even add a custom ribbon button.
See Help » Developer Kit » Help for details, or contact Sales about Custom Development assistance.

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