Interpolating to a Higher or Lower Frequency

Working with Time Series Data

Interpolating to a Higher or Lower Frequency

You can use PROC EXPAND to interpolate values of time series at a higher or lower sampling frequency than the input time series. To change the periodicity of time series, specify the time interval of the input data set with the FROM= option, and specify the time interval for the desired output frequency with the TO= option. For example, the following statements compute interpolated weekly values of the monthly CPI and PPI series:

   proc expand data=usprice out=interpl from=month to=week;
      id date;
      convert cpi ppi / observed=average;
   run;

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