TIMESERIES Procedure

CROSSCORR Statement

  • CROSSCORR statistics < / options > ;

You can use a CROSSCORR statement to produce statistics that are related to cross-correlation analysis of the accumulated time series. Only one CROSSCORR statement is allowed.

You can specify the following time domain statistics:

LAG

time lag

N

number of variance products

CCOV

cross covariances

CCF

cross-correlations

CCFSTD

cross-correlation standard errors

CCF2STD

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

CCFNORM

normalized cross-correlations

CCFPROB

cross-correlation probabilities

CCFLPROB

cross-correlation log probabilities

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

   crosscorr lag n ccov ccf ccfstd;

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

ADJSCALE=option

specifies the normalization of the cross-covariance and cross-correlation. Different ways of normalization means using different divisors (for more information, see the section Cross-Correlation Statistics). You can specify the following values:

BIASED | B

specifies the biased normalization.

DEFAULT | D

specifies the default normalization.

UNBIASED | U

specifies the unbiased normalization.

LAGS=(numlist)

specifies a list of lags to be stored in OUTCROSSCORR= 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 OUTCROSSCORR= 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.

TRANSPOSE=NO | YES

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

NO

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

YES

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

By default, TRANSPOSE=NO.

Last updated: June 19, 2025