/*---------------------------------------------------
CORRELGM.SET    Procedure to compute correlegram of a time series
USAGE:   R=CORRELGM(X,P)
         X:  Vector of observations.
         p:  Number of lags
         R:  px1 vector of autocorrelations
---------------------------------------------------------*/
proc correlgm(x,p);
local idx,crgm,mm,i,y,ytil,n;
n=rows(x);
y=zeros(n-p+1,p);
i=1; do while i<=p;
 y[.,i]=x[p-i+1:n-i+1];
i=i+1; endo;
ytil=y-meanc(y)';
mm=moment(ytil,0)/(n-p);
crgm=mm[.,1]./diag(mm);
idx=seqa(0,1,p);
/* "     Lag        Autocorrelation";
idx~crgm; */
retp(crgm);
endp;
/*---------------------------------------------------*/