Structure of a SAS Data Set Containing Time Series Data

SAS procedures require time series data to be in a specific form recognizable by the SAS System. This form is a two-dimensional array, called a SAS data set, whose columns correspond to series variables and whose rows correspond to measurements of these variables at certain time periods.

The time periods at which observations are recorded can be included in the data set as a time ID variable. The DATASOURCE procedure does include a time ID variable by the name of DATE.

For example, the following data set in Table 12.1, extracted from a DRIBASIC data file, gives the foreign exchange rates for Japan, Switzerland, and the United Kingdom, respectively.

Table 12.1 The Form of SAS Data Sets Required by Most SAS/ETS Procedures

Time ID

Time Series

Variable

Variables

DATE

EXRJAN

EXRSW

EXRUK

SEP1987

143.290

1.50290

164.460

OCT1987

143.320

1.49400

166.200

NOV1987

135.400

1.38250

177.540

DEC1987

128.240

1.33040

182.880

JAN1988

127.690

1.34660

180.090

FEB1988

129.170

1.39160

175.820