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RealePrimavera
Obsidian | Level 7

Hello,

 

Is there a way to calculate cross correlation function in SAS?

I already have graphical ccf plots from Proc ARIMA but would like to have substantial number instead of interpreting the number visually from the graph. I checked Proc Timeseries and Proc Corr but none of them seem to give such digital result. 

 

Thank you very much for your help. 

 

Cheers,

1 ACCEPTED SOLUTION
2 REPLIES 2
Reeza
Super User

PROC TIMESERIES does.

 

Time series analyses performed by the TIMESERIES procedure include the following:

  • descriptive (global) statistics

  • seasonal decomposition/adjustment analysis

  • correlation analysis

  • cross-correlation analysis

  • spectral analysis

 

What code did you use that didn't work?

 

proc sort data=sashelp.stocks out=stocks;
by stock date;
run;

proc timeseries data=stocks outcrosscorr=cross_correlations;
where stock='IBM';
    by stock           ;
   id date interval=month;
   format date yymon7.;
   var  open close high;
   crosscorr  ccf;
run;

 


@RealePrimavera wrote:

Hello,

 

Is there a way to calculate cross correlation function in SAS?

I already have graphical ccf plots from Proc ARIMA but would like to have substantial number instead of interpreting the number visually from the graph. I checked Proc Timeseries and Proc Corr but none of them seem to give such digital result. 

 

Thank you very much for your help. 

 

Cheers,


 

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