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st: Corrgram does not give the same result as coefficient of determination


From   "Dr. Yu Chen" <profyuchen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Corrgram does not give the same result as coefficient of determination
Date   Sun, 14 Oct 2012 18:50:49 -0500

Hello,
I wanted to get the autocorrelation coefficient, and I found that
corrgram did not give the same result as given by an OLS regression.
For example, if I regress x(t) on x(t-1) and obtained the r-squared
from the reg command, the square root of the r-sqaure is not the same
as that given by corrgram (or ac). I also used the formula to
calculate the autocorrelation, and the result did not agree with
corrgram (but agreed with the regression method). I used this formula:
Cov(xt, xt-1)/sqrt(Var(xt)*Var(xt-1)).
What is the reason for this discrepancy?
Thank you very much for any insights you may have.

Yu Chen
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