Structure of a SAS Data Set Containing Time Series Data

The DATASOURCE Procedure

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, extracted from a CITIBASE data file, gives the foreign exchange rates for Japan, Switzerland, and the United Kingdom, respectively.

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

Figure 10.1: The Form of SAS Data Sets Required by Most SAS/ETS Procedures

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