Working with Time Series Data

In some cases, you might want to separate several time series that are contained in one data set into different data sets. In other cases, you might want to combine time series from different data sets into one data set.

To split a time series data set into two or more data sets that contain subsets of the series, use a DATA step to create the new data sets and use the KEEP= data set option to control which series are included in each new data set. The following statements split the USPRICE data set shown in a previous example into two data sets, USCPI and USPPI:

data uscpi(keep=date cpi)
     usppi(keep=date ppi);
   set usprice;
run;

If the series have different time ranges, you can subset the time ranges of the output data sets accordingly. For example, if you know that CPI in USPRICE has the range August 1990 through the end of the data set, while PPI has the range from the beginning of the data set through June 1991, you could write the previous example as follows:

data uscpi(keep=date cpi)
     usppi(keep=date ppi);
   set usprice;
   if date >= '1aug1990'd then output uscpi;
   if date <= '1jun1991'd then output usppi;
run;

To combine time series from different data sets into one data set, list the data sets to be combined in a MERGE statement and specify the dating variable in a BY statement. The following statements show how to combine the USCPI and USPPI data sets to produce the USPRICE data set. It is important to use the BY DATE statement so that observations are matched by time before merging.

   data usprice;
      merge uscpi usppi;
      by date;
   run;