Question on 'ESCCR' ---- Is it computing the lag correlation?

Hi All:

I am using the function 'esccr' to compute the lag/lead correlation
between two variables. The method I used is like the following:

        mxlag = 9
        y_Lead_x = esccr(x,y,mxlag)
        x_Lead_y = esccr(y,x,mxlag)

However, compared to the results with my FORTRAN code, I found that esccr(
x,y,mxlag) is acctually computing the "X_lead_Y" not the expecting
"Y_lead_X". Are there anybody used this function before? Do I
misunderstanding something?

Best!

Song Feng

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Received on Tue Dec 09 2008 - 14:11:27 MST