How can I use NumXL to compute the correlation matrix for 2-time series with lags?
Using the cross-correlation (XCF(.)) and the Backshift/Lag (LAG(.)) functions, you can compute the correlation factors for any lag orders.
Example: Let's assume we have two-time series; Series A and Series B
Series A is stored in cells B1:B200
Series B is stored in cells C1:C200
To compute the cross-correlation matrix (R), we use the XCF(.), and LAG(.) functions as follow:
R(j,k) = XCF(LAG(B1:B200,1,j),1, LAG(C1:C200,1,k),1)
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