Morning Statalisters -
I am working with a time-series data set and I'd like to know
the autocorrelation and partial autocorrelation functions of
two separate variables in my data set. Following a search of
the STATA help index as well as a perusal of Greene's
Econometrics textbook, I am under the impression that
autocorrelation (AC) and partial autocorrelation (PAC) should
be equivalent in lag one; "corrgram", however, does not return
equivalent values in lag one for "ac" and "pac". Can anyone
shed any light on the subject or is my understanding
(admittedly rudimentary) misguided? Thank you.
Cheers, Clint
p.s. a sample of my code and output is pasted below:
corrgram gpsav, lags(8)
LAG AC PAC Q Prob>Q [Autocorrelation] [Partial
Autocor]
----------------------------------------------------------------------
1 0.9661 0.9832 175.48 0.0000 |-------
*Note the disparity between AC and PAC*
*
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