John Sibert wrote:
Can someone please verify the interpretation of lag in the ccf
function in the ts package.
Suppose ccf(x,y).
Do negative lags indicate that the events in x precede the events in y
and positive lags indicate that events in y precede events in x?
Thanks,
John
This you ncan answer for yourself by doing
x <- rnorm(200)
ccf(x, lag(x), na.action=na.omit)
and seing the value 1 at lag 1.
Kjetil halvorsen
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