Time Series Analysis Package

This example uses the TSMODEL procedure to compute the cross-correlation and cross-covariance of two time series arrays (Price and Sale) with lag 20:

data mycas.pricedata (replace=yes);
   set Sashelp.pricedata;
run;

proc tsmodel data=mycas.pricedata outarray=mycas.ccf_array
              outscalar=mycas.ccf_scalar;
   id date interval=month;
   var price sale;
   by region line product;
   outscalars ymu xmu;
   outarrays lags df ccov ccf ccfstd ccf2std ccfnorm ccfprob ccflprob;
   require tsa;
   submit;
   declare object TSA(tsa);
   rc=TSA.CCF(price, sale, 20, lags, df, ymu, xmu, ccov, ccf,
              ccfstd, ccf2std, ccfnorm, ccfprob, ccflprob);
   endsubmit;
run;