Correlation Matrix of time series across categories

[RL997]

I have a set of data organized like this:

ID          Date                    Return

A            1/1/2001            .01

A            2/1/2001            .005

..            …                          …

A           12/1/2001          -.001

B            1/1/2001            .009

B            2/1/2001            .015

…           …                          …

B            12/1/2001          -.005

C            1/1/2001            .007

C            2/1/2001            .005

..            …                          …

C            12/1/2001          .002

I would like my output to show a matrix of ‘Return’ correlations along with p-values

              A            B            C

A            1.00       .778       .562

              (p val)   (p val)   (p val)

B            .778       1.00       .342

              (p val)   (p val)   (p val)

C            .562       .342       1.00

              (p val)   (p val)   (p val)

I can’t figure out how to do this with proc corr. The code I tried was this:

proc corr data = ReturnsByID;
var return;
by id;
ods output pearsonCorr = RetCorrMat;
run;

Any suggestions?

Thanks.

[Ksharp]

Then Change your data structure to fit the PROC CORR .

data have;
input ID  $        Date      : mmddyy10.         Return;
format date mmddyy10.;
cards;
A            1/1/2001            .01
A            2/1/2001            .005
A           12/1/2001          -.001
B            1/1/2001            .009
B            2/1/2001            .015
B            12/1/2001          -.005
C            1/1/2001            .007
C            2/1/2001            .005
C            12/1/2001          .002
;
proc sort data=have out=temp;
by  date;
run;
proc transpose data=temp out=want;
by  date;
var return;
id id;
run;
proc corr data=want;
var a b c;
run;