topic Re: Cross correlation function in SAS Forecasting and Econometrics

Cross correlation function

RealePrimavera — Mon, 05 Aug 2019 16:14:45 GMT

Hello,

Is there a way to calculate cross correlation function in SAS?

I already have graphical ccf plots from Proc ARIMA but would like to have substantial number instead of interpreting the number visually from the graph. I checked Proc Timeseries and Proc Corr but none of them seem to give such digital result.

Thank you very much for your help.

Cheers,

Re: Cross correlation function

PaigeMiller — Mon, 05 Aug 2019 18:58:23 GMT

You want the OUTCOV= option of the IDENTIFY statement.

https://documentation.sas.com/?cdcId=pgmmvacdc&cdcVersion=9.4&docsetId=etsug&docsetTarget=etsug_arima_syntax04.htm&locale=en

https://documentation.sas.com/?cdcId=pgmmvacdc&cdcVersion=9.4&docsetId=etsug&docsetTarget=etsug_arima_details40.htm&locale=en

Re: Cross correlation function

Reeza — Mon, 05 Aug 2019 18:59:12 GMT

PROC TIMESERIES does.

Time series analyses performed by the TIMESERIES procedure include the following:

descriptive (global) statistics
seasonal decomposition/adjustment analysis
correlation analysis
cross-correlation analysis
spectral analysis

What code did you use that didn't work?

proc sort data=sashelp.stocks out=stocks;
by stock date;
run;

proc timeseries data=stocks outcrosscorr=cross_correlations;
where stock='IBM';
    by stock           ;
   id date interval=month;
   format date yymon7.;
   var  open close high;
   crosscorr  ccf;
run;

@RealePrimavera wrote:

Hello,

Is there a way to calculate cross correlation function in SAS?

I already have graphical ccf plots from Proc ARIMA but would like to have substantial number instead of interpreting the number visually from the graph. I checked Proc Timeseries and Proc Corr but none of them seem to give such digital result.

Thank you very much for your help.

Cheers,