Cross-Correlation Code to Determine Time Lag and Correlation

[KHayes]

Hi, I'm trying cross-correlate 2 time series variables to estimate their correlations and determine the time lag between the variables. Both variables are adjusted using ARIMA models MA(1,1) and ARIMA (1,1,1).

When I run the code below, I don't get any errors in my log but the table produced in the results tab has WARNING in the STATUS column or sometimes is has 0 Converged in the STATUS column.  

I've read about using OUTCORR and OUTEST but I'm not sure what the difference is between the two or where to place in the ESTIMATE line. Or maybe the problem comes in when I enter the ARIMA models in the code...??? 

Any help is much appreciated. Great if you can share an example code! 

My code is :

proc arima data = dataset1.pceaus;

identify var = dpcecap;

estimate q=1 p=1 outcorr outest=dataset1.pceaus5;

identify var=dhale q=1 crosscorr= dpcecap;

run;

proc print data=dataset1.pceaus5;

run;

[JOL]

Try reposting under menu: Analytics - Statistical Procedures

[KHayes]

Hi, I'm trying cross-correlate 2 time series variables to estimate their correlations and determine the time lag between the variables. Both variables are adjusted using ARIMA models MA(1,1) and ARIMA (1,1,1).

When I run the code below, I don't get any errors in my log but the table produced in the results tab has WARNING in the STATUS column or sometimes is has 0 Converged in the STATUS column.  

I've read about using OUTCORR and OUTEST but I'm not sure what the difference is between the two or where to place in the ESTIMATE line. Or maybe the problem comes in when I enter the ARIMA models in the code...??? 

Any help is much appreciated. Great if you can share an example code! 

My code is :

proc arima data = dataset1.pceaus;

identify var = dpcecap;

estimate q=1 p=1 outcorr outest=dataset1.pceaus5;

identify var=dhale q=1 crosscorr= dpcecap;

run;

proc print data=dataset1.pceaus5;

run;

[Kurt_Bremser]

I merged and moved everything.

[KHayes]

@Kurt_Bremser thanks so much for your response. Could you expand on what you mean by merging and moving everything? I'm a novice to SAS and appreciate your help!

Thanks!

[Kurt_Bremser]

It means I merged your posts into one and moved this to the Statistical Procedures community.