Multi-period Autocorrelation P-Values

harryg — Mon, 30 Jul 2012 12:30:34 GMT

Given a time series dataset, is there a SAS procedure that can easily generate the autocorrelations / lagged correlations for multiple periods (12) and the associated p-values in tabular format?

Re: Multi-period Autocorrelation P-Values

udo_sas — Mon, 30 Jul 2012 21:18:26 GMT

Hello -

If you have access to SAS/ETS software then you might want to have a look at the TIMESERIES procedure, which provides access to both autocorrelation and crosscorrelation features.

See:

http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_timeseries_sect023.htm

http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_timeseries_sect024.htm

Example (autocorrelation):

data monthly;

set monthlydata_sas7;

sasdate=input(put(month,z6.),yymmn6.);

drop month;

format sasdate date9.;

run;

proc timeseries data=monthly out=_null_ outcorr=outcorr;

id sasdate interval=month;

var sprd;

corr / nlag=12;

run;

proc print noobs data=outcorr;

run;

Thanks,

Udo

topic Re: Multi-period Autocorrelation P-Values in SAS Procedures

Multi-period Autocorrelation P-Values

Re: Multi-period Autocorrelation P-Values