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SPSS® 12.0 Command Syntax Reference

SPSS® 12.0 Command Syntax Reference

SPSS® 12.0 Command Syntax Reference

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222 CCF<br />

• The specification on SDIFF indicates the degree of seasonal differencing and can be 0 or<br />

any positive integer.<br />

• If SDIFF is specified without a value, the degree of seasonal differencing defaults to 1.<br />

• The number of seasons used in the calculations decreases by 1 for each degree of seasonal<br />

differencing.<br />

• The length of the period used by SDIFF is specified on the PERIOD subcommand. If the<br />

PERIOD subcommand is not specified, the periodicity established on the TSET or DATE<br />

command is used (see the PERIOD subcommand below).<br />

Example<br />

CCF VAR01 WITH VAR02 VAR03<br />

/SDIFF=1.<br />

• In this example, one degree of seasonal differencing using the periodicity established on<br />

the TSET or DATE command is applied to the three series.<br />

• Two cross-correlation functions are then plotted, one for the pair VAR01 and VAR02, and<br />

one for the pair VAR01 and VAR03.<br />

PERIOD Subcommand<br />

PERIOD indicates the length of the period to be used by the SDIFF or SEASONAL subcommands.<br />

• The specification on PERIOD indicates how many observations are in one period or season<br />

and can be any positive integer greater than 1.<br />

• PERIOD is ignored if it is used without the SDIFF or SEASONAL subcommands.<br />

• If PERIOD is not specified, the periodicity established on TSET PERIOD is in effect. If<br />

TSET PERIOD is not specified, the periodicity established on the DATE command is used.<br />

If periodicity was not established anywhere, the SDIFF and SEASONAL subcommands<br />

will not be executed.<br />

Example<br />

CCF VARX WITH VARY<br />

/SDIFF=1<br />

/PERIOD=6.<br />

• This command applies one degree of seasonal differencing with a periodicity of 6 to both<br />

series and computes and plots the cross-correlation function.<br />

LN and NOLOG Subcommands<br />

LN transforms the data using the natural logarithm (base e) of each series and is used to remove<br />

varying amplitude over time. NOLOG indicates that the data should not be log transformed. NOLOG<br />

is the default.<br />

• There are no additional specifications on LN or NOLOG.<br />

• Only the last LN or NOLOG subcommand on a CCF command is executed.<br />

• LN and NOLOG apply to all series named on the CCF command.

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