/*------------------------------------------------------------------------
                                                                         
  AUTOCOVR.PRC                                                           
  Purpose: Computes Autocovaricances and Autocorrelations of a           
           Univariate Time Series                                        
  Written by Hyeongwoo Kim (Jan 31, 2003)                                
  Formula taken from Hamilton (1994, p110) or Hayashi (2000, p142)       
-------------------------------------------------------------------------
                                                                         
  Format: {av,ar}=autocovr(x,p);                                         
                                                                         
  Input : x   (nX1) Vector of a Time Series                               
          p   (1x1) Number of Lags                                       
                                                                         
  Output: av  (px1) Vector of Autocovariances from 0 to p-1              
          ar  (px1) Vector of Autocorrelations from 0 to p-1             
                                                                         
-------------------------------------------------------------------------*/


proc(2) = autocovr(x,p);
    local av,ar,i;
    x = x - meanc(x);
    av = zeros(p-1,1);
    i = 1; do until i > (p-1);
        av[i] = (x'shiftr(x',i,0)')/rows(x);
        i = i + 1;
    endo;
    av = (x'x/(rows(x)))|av;
    ar = av./(x'x/(rows(x)));
    retp(av,ar);
endp;