What will I need to calculate the comovements of two time-series?
The program that controls the flow of execution is calccorr.m. This program MUST BE EDITED for each individual use of the programs. It contains a set of user-defined variables that are instrumental in the program’s execution. Depending on the method that is used to calculate the comovements, some of these user-defined inputs will be ignored. These variables and the method they are associated with are listed below: VAR Forecast Error Method and High-Pass Filter Method • infile-File name where data is stored (character string) • methodology-Indicator variable that selects which method will be used • forecastrange-Range of forecast horizons/periodicities for which you wish to calculate results High-Pass Filter Method • truncparam-Truncation parameter for the high-pass filter method VAR Forecast Error Method • nlags-Maximum number of lags to use in selecting the best VAR • infocrit-Criterion to use in choosing the best VAR (‘aic’ or ‘bic’) • unitroot-Boolean (0 or 1) indicating whether a u
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