On Tue, 3 Feb 2009, Allin Cottrell wrote:
>> We could accept column vectors in place of series.
> No proper matrices, then, right?
Well... the semantics of accepting a general matrix for the first
variant are reasonably predictable: the column-wise concatenation
of the individual results (ACF1, PACF1, ACF2, PACF2, ...), but for
the second variant they'd be somewhat obscure. And if we were to
restrict the general matrix option to the first variant that would
be an instance of the sort of overloading of which I'm wary
(convoluted help entry required). But I'm open to persuasion. I
won't start work on this till we have something acceptably close
to a consensus.
A possible compromise could be as follows:
- arg1 could be either single (series/vector) or multiple (matrix/list).
- arg2: scalar, the max order; end of story.
- arg3 (optional) could only be is a series/vector. If absent, the
function reutrns acf/pacf. If present, the function yields
cross-correlations against that variable. Note that in many cases this is
all that's required (cfr countless RBC papers which compute
cross-covariances _against GDP_). If more is needed, use a loop.
Do you like it?
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche