A function used to obtain partial cross-correlation function for a give lag order
A matrix with multiple columns (more than 3 columns)
The lag order (integer)
This function obtains the partial corss-correlation and the simple correlation. To obtain the partial cross-correlation, this function uses the first column of the input matrix and k-lagged values of the rest of the matrix.
Partial corss-correlation at k lags and the correlation statistics at k lags.
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang
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