/* This is a DEMO Program for generating the cross-correlation function between two series x and Y. */ DATA ONE; input obs x y; cards; 1 1.13934 -13.6571 2 0.79834 -13.8194 3 0.42838 -6.0603 4 1.59746 -2.6682 5 0.65473 -0.4456 6 0.85586 4.2295 7 1.15689 6.2419 8 0.89820 6.2102 9 1.25517 8.0318 10 -0.21105 8.2383 11 -0.50218 8.8809 12 0.96320 5.8068 13 -0.66515 1.8999 14 -0.67356 2.9842 15 0.00247 1.0586 16 -0.14788 -2.8114 17 -1.54165 -2.5013 18 -1.08409 -3.6216 19 -0.89463 -8.0097 20 -1.59943 -8.4855 21 -1.32902 -8.4925 22 -0.61674 -10.1982 23 -0.62701 -12.9238 24 1.78379 -11.0029 25 1.40608 -10.6135 26 1.31543 -0.0667 27 2.16314 4.5328 28 2.94703 6.7696 29 4.35446 10.9360 30 3.85904 16.5377 31 3.41903 25.0673 32 3.50447 28.2359 33 3.84842 30.6149 34 4.12760 30.8292 35 4.21318 31.8740 36 1.21965 35.8275 37 -0.59820 36.3141 38 -0.27270 27.9992 39 -0.73563 18.3999 40 0.77471 9.9961 41 1.30570 6.6069 42 1.15783 6.6545 43 -1.57941 10.0608 44 -2.77272 10.7523 45 -3.02594 3.2208 46 -1.37770 -5.4935 47 -0.47781 -13.7446 48 -0.49957 -15.3945 49 0.42346 -13.9105 50 1.43984 -11.2923 51 -0.64745 -8.3058 52 0.97561 -1.9613 53 0.11056 -2.4643 54 0.70617 0.8492 55 0.37112 0.0574 56 -1.41750 3.8583 57 -0.57619 2.7737 58 0.18010 -1.8633 59 -0.52565 -2.3086 60 -2.55206 -0.3154 61 -3.19630 -2.6861 62 -2.69313 -8.4909 63 -2.60681 -14.9948 64 -2.40746 -17.3499 65 -0.84369 -20.0144 66 -0.16637 -20.3426 67 0.67981 -18.2554 68 -1.05657 -13.7065 69 -0.57718 -6.4544 70 0.22707 -9.9072 71 -0.07951 -8.7204 72 2.50241 -6.9604 73 2.25335 -4.5306 74 1.46304 3.5179 75 1.68547 9.1820 76 0.38597 10.8012 77 -0.83746 14.0608 78 -0.97218 12.0036 79 -0.48116 5.3195 80 -0.65857 0.9754 81 -0.88606 -1.4581 82 2.23801 -1.9188 83 2.18241 -2.9817 84 2.04010 5.0697 85 0.19159 10.2432 86 -1.37985 14.3236 87 -0.45078 11.0204 88 -1.58324 3.9307 89 -1.35343 2.0595 90 -1.46702 -2.2624 91 -0.67552 -6.6634 92 -1.46421 -9.2313 93 -1.37342 -7.6559 94 -1.59420 -11.4006 95 -1.97825 -12.1679 96 -2.01894 -12.8385 97 -2.45452 -13.6837 98 -0.88839 -15.6545 99 0.55307 -17.6685 100 -0.07033 -13.7989 101 1.86442 -6.6943 102 0.55965 -5.5684 103 -1.66465 1.9359 104 -0.07566 1.3109 105 0.08620 -3.1128 106 -0.90884 -1.2112 107 0.26265 -1.5224 108 -1.02678 -4.3412 109 -2.78794 -1.82476 110 -1.96162 -6.78068 ; PROC ARIMA DATA=ONE; IDENTIFY VAR = X NOPRINT; ESTIMATE P=1 METHOD=CLS MAXIT=50 NOPRINT; IDENTIFY VAR = Y CROSSCOR = (X) NLAG = 12; ESTIMATE INPUT = (2$/(1)x) METHOD = ML PLOT; /* PLAUSIBLE MODEL */ ESTIMATE INPUT = (2$(1,2,3)x) METHOD = ML PLOT; /* ANOTHER PLAUSIBLE MODEL */ ESTIMATE P=1 INPUT = (2$/(1)x) METHOD = ML PLOT; /* MOPPING UP THE AUTOCORRELATION IN THE RESIDUALS */ ESTIMATE P=1 INPUT = (2$(1,2,3)x) METHOD = ML PLOT; /* MOPPING UP THE AUTOCORRELATION IN THE RESIDUALS */ ESTIMATE P=1 INPUT = (2$(1)/(1)x) METHOD = ML PLOT; /* OVERFIT 1 */ ESTIMATE P=1 INPUT = (2$/(1,2)x) METHOD = ML PLOT; /* OVERFIT 2 */ ESTIMATE P=2 INPUT = (2$/(1)x) METHOD = ML PLOT; /* OVERFIT 3 */ ESTIMATE P=1 Q=1 INPUT = (2$/(1)x) METHOD = ML PLOT; /* OVERFIT 4 */ run;