DIFF Subcommand (CCF command)

DIFF specifies the degree of differencing used to convert a nonstationary series to a stationary one with a constant mean and variance before obtaining cross-correlations.

• You can specify 0 or any positive integer on DIFF.
• If DIFF is specified without a value, the default is 1.
• The number of values used in the calculations decreases by 1 for each degree of differencing.

Example

CCF VARIABLES = VARX VARY
  /DIFF=1.

• This command differences series VARX and VARY before calculating and plotting the cross-correlation function.