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RL997
‎07-26-2019
  • 5 Posts
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Correlation Matrix of time series across categories

by Calcite | Level 5 in Statistical Procedures
‎07-26-2019 04:59 PM
‎07-26-2019 04:59 PM
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.   ... View more

Re: Multi-period lags in a by group

by Calcite | Level 5 in SAS Programming
‎05-30-2019 02:12 PM
‎05-30-2019 02:12 PM
Thanks Reeza.  That worked great. ... View more

Multi-period lags in a by group

by Calcite | Level 5 in SAS Programming
‎05-30-2019 12:32 PM
‎05-30-2019 12:32 PM
Hi,   I have a data set that looks like this:   Group Inc A 0 A 9 A 1 A 8 A 2 A 7 A 3 A 6 B 90 B 0 B 80 B 10 B 70 B 20 B 60 B 30 . . . . . .   I want to add columns with one- and four-period lags of "Inc" by group.  The answer should look like this: Group Inc LQInc LYInc A 0 . . A 9 0 . A 1 9 . A 8 1 . A 2 8 0 A 7 2 9 A 3 7 1 A 6 3 8 B 90 . . B 0 90 . B 80 0 . B 10 80 . B 70 10 90 B 20 70 0 B 60 20 80 B 30 60 10 . . . . . . . . . . . .   This is my attempt at coding this problem: DATA want;       SET have;       by group;        retain n lqinc_temp lyinc_temp;         lqinc = lqinc_temp;       lyinc = lyinc_temp;         if first.group then            n = 1 and            lqinc = .;         if n < 4 then lyinc = .;         n = sum(n,1);       lqinc_temp = inc;       lyinc_temp = lag4(inc);   run;   The answer I get looks like this: Group Inc LQInc LYInc A 0 0 . A 9 9 . A 1 1   A 8 8   A 2 2 0 A 7 7 9 A 3 3 1 A 6 6 8 B 90 90 . B 0 0 . B 80 80 3 B 10 10 6 B 70 70 90 B 20 20 0 B 60 60 80 B 30 30 10 . . . . . . . . . . . .   I can't quite understand what SAS is doing, but it appears to be cycling through each record more than once.  Any suggestions for fixing my code would be much appreciated.   Thanks ... View more

Re: PROC SQL ORDER BY following a LEFT JOIN Ambiguous reference error

by Calcite | Level 5 in SAS Programming
‎05-10-2019 04:06 PM
‎05-10-2019 04:06 PM
I also had a "where" statement in my code that I didn't think was relevant to my question.  That turned out to be the source of the ambiguous reference error.   Thanks for looking at the problem. ... View more

PROC SQL ORDER BY following a LEFT JOIN Ambiguous reference error

by Calcite | Level 5 in SAS Programming
‎05-10-2019 12:55 PM
‎05-10-2019 12:55 PM
Hello,   I am trying to join tables in SQL and then order by an id common to the new and joined tables.  How do I get rid of the ambiguous reference error?     PROC SQL;    CREATE TABLE new AS  SELECT A.*, B.*  FROM table1 as A LEFT JOIN table2 as B  ON A.id = B.id    ORDER BY A.id, A.xx; ERROR: Ambiguous reference, column id is in more than one table.   QUIT;   Thanks in advance for your help. ... View more
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