Given a time series dataset, is there a SAS procedure that can easily generate the autocorrelations / lagged correlations for multiple periods (12) and the associated p-values in tabular format?
Hello -
If you have access to SAS/ETS software then you might want to have a look at the TIMESERIES procedure, which provides access to both autocorrelation and crosscorrelation features.
See:
Example (autocorrelation):
data monthly;
set monthlydata_sas7;
sasdate=input(put(month,z6.),yymmn6.);
drop month;
format sasdate date9.;
run;
proc timeseries data=monthly out=_null_ outcorr=outcorr;
id sasdate interval=month;
var sprd;
corr / nlag=12;
run;
proc print noobs data=outcorr;
run;
Thanks,
Udo
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