12-10-2017 05:22 PM
I am trying to use the output from a covariance matrix in an optimization model. I want the output to look like the PROC CORR output, but instead get the output with type, obs, and name. Is there a way to create a new dataset that matches the PROC CORR output? If there is a altogether better way to do this, please let me know. Thank you.
ods select Cov PearsonCorr; proc corr data=ret_monthly noprob outp=CovMat cov nocorr; var EOG_monret CAT_monret DE_monret LNG_monret GD_monret; Title "Covariance Matrix"; run; proc print data=CovMat NOOBS; Title "Covariance Matrix"; run;
12-10-2017 06:03 PM
Your other option is:
ods output pearsoncorr=p;
The data set has one set of variable for r, p, and n. If you want to stack things to look like they do in the output, you will need to use a DATA step.