topic Two Time Series -- Measure of 'In-Sync' or 'In-Phase' in Statistical Procedures

Two Time Series -- Measure of 'In-Sync' or 'In-Phase'

NKormanik — Tue, 29 Jun 2021 23:49:02 GMT

Suppose we have two time-series, X1 and X2. I'm wondering if SAS has a way of showing if the two series are in-sync, or in-phase, vs. out of sync/phase.

Let's say we want to execute some action when the sync of X1, X2 is maximally moving in the same direction.

We have to be able to track the sync/phase. Have a measure thereof.

Any thoughts greatly appreciated.

Nicholas Kormanik

Re: Two Time Series -- Measure of 'In-Sync' or 'In-Phase'

SteveDenham — Wed, 30 Jun 2021 14:46:46 GMT

CAVEAT: I HAVE NEVER USED THIS PROCEDURE MYSELF.

When I search through some of the capabilities in SAS/ETS, it looks like PROC SPECTRA may be applicable. I would suggest you repost this question in the Analytics>Forecasting and Econometrics community, as there should be folks that follow that community more closely than I do who could give you an answer that is based on my ability to read the documentation.

SteveDenham