Cross correlation function

[RealePrimavera]

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,

[PaigeMiller · Accepted solution]

You want the OUTCOV= option of the IDENTIFY statement.

https://documentation.sas.com/?cdcId=pgmmvacdc&cdcVersion=9.4&docsetId=etsug&docsetTarget=etsug_arim...

https://documentation.sas.com/?cdcId=pgmmvacdc&cdcVersion=9.4&docsetId=etsug&docsetTarget=etsug_arim...

[Reeza]

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;

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@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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