Timeseries X1 and X2 are both highly correlated with Y (Cov>90%), why the difference btw X1 and X2 are still highly
correlated with Y(COV~=90%)?
How to treat this to make a better prediciion?!
Please explain further the part in red ... difference of what?
“...why the difference btw X1 and X2 are still highly correlated with Y(COV~=90%)?”
New variable =X1X2 still correlated with Y, why? Typical? Or abnormal?
Can you show us the correlation matrix of X1, X2, (X1X2) and Y
Pearson Correlation Coefficients, N = 22999 Prob > r under H0: Rho=0 


hs300  ordvol_dif_g14  ordvol_dif_gap4  ordvol_dif_gap1  
hs300 





ordvol_dif_g14 





ordvol_dif_gap4 





ordvol_dif_gap1 




I don't think there's anything unusual here, did you try plotting the data?
Build your skills. Make connections. Enjoy creative freedom. Maybe change the world. Registration is now open through August 30th. Visit the SAS Hackathon homepage.
Register today!Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.
Find more tutorials on the SAS Users YouTube channel.