Working with Time Series Data

Time Series Periodicity and Time Intervals

A fundamental characteristic of time series data is how frequently the observations are spaced in time. How often the observations of a time series occur is called the sampling frequency or the periodicity of the series. For example, a time series with one observation each month has a monthly sampling frequency or monthly periodicity and so is called a monthly time series.

In SAS, data periodicity is described by specifying periodic time intervals into which the dates of the observations fall. For example, the SAS time interval MONTH divides time into calendar months.

Many SAS/ETS procedures enable you to specify the periodicity of the input data set with the INTERVAL= option. For example, specifying INTERVAL=MONTH indicates that the procedure should expect the ID variable to contain SAS date values, and that the date value for each observation should fall in a separate calendar month. The EXPAND procedure uses interval name values with the FROM= and TO= options to control the interpolation of time series from one periodicity to another.

SAS also uses time intervals in several other ways. In addition to indicating the periodicity of time series data sets, time intervals are used with the interval functions INTNX and INTCK and for controlling the plot axis and reference lines for plots of data over time.