The TIMESERIES Procedure

CORR Statement

  • CORR statistics < / options > ;

You can use a CORR statement to specify options that are related to time domain analysis of the accumulated time series. Only one CORR statement is allowed.

You can specify the following time domain statistics:

LAG

time lag

N

number of variance products

ACOV

autocovariances

ACF

autocorrelations

ACFSTD

autocorrelation standard errors

ACF2STD

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

ACFNORM

normalized autocorrelations

ACFPROB

autocorrelation probabilities

ACFLPROB

autocorrelation log probabilities

PACF

partial autocorrelations

PACFSTD

partial autocorrelation standard errors

PACF2STD

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

PACFNORM

partial normalized autocorrelations

PACFPROB

partial autocorrelation probabilities

PACFLPROB

partial autocorrelation log probabilities

IACF

inverse autocorrelations

IACFSTD

inverse autocorrelation standard errors

IACF2STD

an indicator of whether the inverse autocorrelation is less than (–1), greater than (1) or within (0) two standard errors of zero

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 you do not specify any statistics, then the default is as follows: 

   corr lag n acov acf acfstd pacf pacfstd iacf iacfstd wn wnprob;

You can specify the following options after a slash (/):

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.

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.

NPARMS=number

specifies the number of parameters that are 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. This option is useful when you analyze the residuals of a time series model whose number of parameters is specified by number. By default, NPARMS=0.

TRANSPOSE=NO | YES

specifies which values are recorded as column names in the OUTCORR= data set. You can specify the following values:

NO

specifies that correlation statistics be recorded as the column names. This option is useful for graphing the correlation results with SAS/GRAPH procedures.

YES

specifies that lags be recorded as the column names instead of correlation statistics as the column names. This option is useful for analyzing the correlation results with other SAS procedures such as the CLUSTER procedure in SAS/STAT or with SAS Enterprise Miner software.

By default, TRANSPOSE=NO.