How to get the result of CROSS

[colin.Fu]

Hey everyone!

I now have 500 some variables, let's say X1 to X500 and a depend variable Y. I am using CROSS to compute the correlation coefficient between Y and Xn 12 terms lead and 12 terms lag.

I wanna know is there any way I can set a threshold like 0.6, then If all the 24 correlation coefficient absolute values are less than the threshold, I dropped the variable(considering there are no significant between them).

since there are too many variables, I wanna do it with programme. But I do not know how to start.

Any suggestions? Thanks! :D