SPSS® 12.0 Command Syntax Reference

220 CCF
Basic Specification
The basic specification is two or more series names. By default, CCF automatically displays
the cross-correlation coefficient and standard error for the negative lags (second series
leading), the positive lags (first series leading), and the 0 lag for all possible pair
combinations in the series list. It also plots the cross-correlations and marks the bounds of
two standard errors on the plot. By default, CCF displays and plots values up to 7 lags (lags
−7 to +7), or the range specified on TSET.
Subcommand Order
• Subcommands can be specified in any order.
Syntax Rules
• The VARIABLES subcommand can be specified only once.
• Other subcommands can be specified more than once, but only the last specification of
each one is executed.
Operations
• Subcommand specifications apply to all series named on the CCF command.
• If the LN subcommand is specified, any differencing requested on that CCF command is
done on the log transformed series.
• Confidence limits are displayed in the plot, marking the bounds of two standard errors at
each lag.
Limitations
Example
• Maximum 1 VARIABLES subcommand. There is no limit on the number of series named
on the list.
CCF VARX VARY
/LN
/DIFF=1
/SDIFF=1
/PERIOD=12
/MXCROSS=25.
• This example produces a plot of the cross-correlation function for VARX and VARY after
a natural log transformation, differencing, and seasonal differencing have been applied to
both series. Along with the plot, the cross-correlation coefficients and standard errors are
displayed for each lag.