topic Re: Cross-Correlation Code to Determine Time Lag and Correlation in Statistical Procedures

Cross-Correlation Code to Determine Time Lag and Correlation

KHayes — Tue, 06 Jul 2021 03:35:21 GMT

Hi, I'm trying cross-correlate 2 time series variables to estimate their correlations and determine the time lag between the variables. Both variables are adjusted using ARIMA models MA(1,1) and ARIMA (1,1,1).

When I run the code below, I don't get any errors in my log but the table produced in the results tab has WARNING in the STATUS column or sometimes is has 0 Converged in the STATUS column.

I've read about using OUTCORR and OUTEST but I'm not sure what the difference is between the two or where to place in the ESTIMATE line. Or maybe the problem comes in when I enter the ARIMA models in the code...???

Any help is much appreciated. Great if you can share an example code!

My code is :

proc arima data = dataset1.pceaus;

identify var = dpcecap;

estimate q=1 p=1 outcorr outest=dataset1.pceaus5;

identify var=dhale q=1 crosscorr= dpcecap;

run;

proc print data=dataset1.pceaus5;

run;

Re: Cross-Correlation Code to Determine Time Lag and Correlation

JOL — Tue, 06 Jul 2021 17:49:32 GMT

Try reposting under menu: Analytics - Statistical Procedures

Cross Correlation to determine time lag and correlation

KHayes — Tue, 06 Jul 2021 17:54:53 GMT

When I run the code below, I don't get any errors in my log but the table produced in the results tab has WARNING in the STATUS column or sometimes is has 0 Converged in the STATUS column.

Any help is much appreciated. Great if you can share an example code!

My code is :

proc arima data = dataset1.pceaus;

identify var = dpcecap;

estimate q=1 p=1 outcorr outest=dataset1.pceaus5;

identify var=dhale q=1 crosscorr= dpcecap;

run;

proc print data=dataset1.pceaus5;

run;

Re: Cross-Correlation Code to Determine Time Lag and Correlation

Kurt_Bremser — Tue, 06 Jul 2021 19:18:05 GMT

I merged and moved everything.

Re: Cross-Correlation Code to Determine Time Lag and Correlation

KHayes — Sat, 10 Jul 2021 19:30:55 GMT

@Kurt_Bremser thanks so much for your response. Could you expand on what you mean by merging and moving everything? I'm a novice to SAS and appreciate your help!

Thanks!

Re: Cross-Correlation Code to Determine Time Lag and Correlation

Kurt_Bremser — Sat, 10 Jul 2021 21:36:17 GMT

It means I merged your posts into one and moved this to the Statistical Procedures community.