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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

two standard errors beyond autocorrelations

ACFNORM

normalized autocorrelations

ACFPROB

autocorrelation probabilities

ACFLPROB

autocorrelation log probabilities

PACF

partial autocorrelations

PACFSTD

partial autocorrelation standard errors

PACF2STD

two standard errors beyond partial autocorrelations

PACFNORM

partial normalized autocorrelations

PACFPROB

partial autocorrelation probabilities

PACFLPROB

partial autocorrelation log probabilities

IACF

inverse autocorrelations

IACFSTD

inverse autocorrelation standard errors

IACF2STD

two standard errors beyond inverse autocorrelations

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

TRANSPOSE=YES specifies that the OUTCORR= data set is recorded with the lags as the column names instead of with the 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 from other SAS procedures such as the CLUSTER procedure of SAS/STAT or SAS Enterprise Miner. The default is TRANSPOSE=NO.

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