The TIMESERIES Procedure

CORR Statement

CORR statistics < / options > ;

A CORR statement can be used with the TIMESERIES procedure to specify options related to time domain analysis of the accumulated time series. Only one CORR statement is allowed.

The following time domain statistics are available:

LAG: time lag
N: number of variance products
ACOV: autocovariances
ACF: autocorrelations
ACFSTD: autocorrelation standard errors
ACF2STD: an indicator of whether autocorrelations are less than (–1), greater than (1), or within (0) two standard errors of zero
ACFNORM: normalized autocorrelations
ACFPROB: autocorrelation probabilities
ACFLPROB: autocorrelation log probabilities
PACF: partial autocorrelations
PACFSTD: partial autocorrelation standard errors
PACF2STD: an indicator of whether partial autocorrelation are less than (–1), greater than (1), or within (0) two standard errors of zero
PACFNORM: partial normalized autocorrelations
PACFPROB: partial autocorrelation probabilities
PACFLPROB: partial autocorrelation log probabilities
IACF: inverse autocorrelations
IACFSTD: inverse autocorrelation standard errors
IACF2STD: an indicator of whether the inverse autocorrelation is less than (–1), greater than (1) or within (0) two standard errors of zero
IACFNORM: normalized inverse autocorrelations
IACFPROB: inverse autocorrelation probabilities
IACFLPROB: inverse autocorrelation log probabilities
WN: white noise test statistics
WNPROB: white noise test probabilities
WNLPROB: white noise test log probabilities

If none of the correlation statistics are specified, the default is as follows:

   corr lag n acov acf acfstd pacf pacfstd iacf iacfstd wn wnprob;

The following options can be specified in the CORR statement following the slash (/):

NLAG= number: specifies the number of lags to be stored in the OUTCORR= data set or to be plotted. The default is 24 or three times the length of the seasonal cycle, whichever is smaller. The LAGS= option takes precedence over the NLAG= option.
LAGS= (numlist): specifies the list of lags to be stored in OUTCORR= data set or to be plotted. The list of lags must be separated by spaces or commas. For example, LAGS=(1,3) specifies the first then third lag.
NPARMS= number: specifies the number of parameters used in the model that created the residual time series. The number of parameters determines the degrees of freedom associated with the Ljung-Box statistics. The default is NPARMS=0. This option is useful when analyzing the residuals of a time series model with the number of parameters specified by NPARMS=number option.
TRANSPOSE= NO|YES: specifies which values are recorded as column names in the OUTCORR= data set. TRANSPOSE=YES specifies that lags be recorded as the column names instead of correlation statistics as the column names. The TRANSPOSE=NO option is useful for graphing the correlation results with SAS/GRAPH procedures. The TRANSPOSE=YES option is useful for analyzing the correlation results with other SAS procedures such as the CLUSTER procedure of SAS/STAT or SAS Enterprise Miner software. The default is TRANSPOSE=NO.