The TIMESERIES Procedure

CROSSCORR Statement

  • CROSSCORR statistics < / options > ;

A CROSSCORR statement can be used with the TIMESERIES procedure to specify options that are related to cross-correlation analysis of the accumulated time series. Only one CROSSCORR statement is allowed.

The following time domain statistics are available:

LAG

time lag

N

number of variance products

CCOV

cross covariances

CCF

cross-correlations

CCFSTD

cross-correlation standard errors

CCF2STD

an indicator of whether cross-correlations are less than (–1), greater than (1), or within (0) two standard errors of zero

CCFNORM

normalized cross-correlations

CCFPROB

cross-correlation probabilities

CCFLPROB

cross-correlation log probabilities

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

   crosscorr lag n ccov ccf ccfstd;

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

NLAG= number

specifies the number of lags to be stored in the OUTCROSSCORR= 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 a list of lags to be stored in OUTCROSSCORR= 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.

TRANSPOSE= NO|YES

specifies which values are recorded as column names in the OUTCROSSCORR= data set. TRANSPOSE=YES specifies that the lags be recorded as the column names instead of the cross-correlation statistics. The TRANSPOSE=NO option is useful for graphing the cross-correlation results with SAS/GRAPH procedures. The TRANSPOSE=YES option is useful for analyzing the cross-correlation results with other procedures such as the CLUSTER procedure of SAS/STAT or SAS Enterprise Miner software. The default is TRANSPOSE=NO.