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From: db on 11 Jun 2010 18:33
Hi,
I am trying to calculate correlation coefficeint for fixed period by
date and time
I would like to calculate correlation coefficient starting at 7:01:00
(since my dataset starts at 7:00:00) and ending at 21:00:00
everyday.
I got second logic from this forum but this logic is to calculate
rolling window of correlation coefficient.
Could anyone help how to solve this problem ?

Thank you so much !

data input;

format date:mmddyy10. time :time7.;
*informat date date10. time time7.;
input date $ time $ stock1 stock2;

cards;
01/04/2010 7:00:00 5989.5 1115.25
01/04/2010 7:01:00 5998.5 1116
01/04/2010 7:02:00 5996.5 1115.75
01/04/2010 7:05:00 6000 1115.5
01/04/2010 20:55:00 6042 1128.5
01/04/2010 20:56:00 6040.5 1128.5
01/04/2010 20:57:00 6040.5 1128.75
01/04/2010 20:58:00 6040.5 1128.5
01/04/2010 20:59:00 6040.5 1128.5
01/04/2010 21:00:00 6036 1128.75
01/05/2010 7:00:00 6035.5 1128.5
01/05/2010 7:01:00 6037 1128.5
01/05/2010 7:02:00 6037 1128.5
01/05/2010 7:03:00 6038 1128.5
01/05/2010 7:06:00 6038.5 1128.25
01/05/2010 20:56:00 6042 1131.5
01/05/2010 20:57:00 6042.5 1132
01/05/2010 20:58:00 6042 1132
01/05/2010 20:59:00 6041.5 1131.75
01/05/2010 21:00:00 6041.5 1132.25
01/06/2010 7:00:00 6039 1129.75
01/06/2010 7:01:00 6035 1129.25
01/06/2010 7:02:00 6035 1129.5
01/06/2010 7:07:00 6035 1129.25
01/06/2010 20:38:00 6036 1134
01/06/2010 20:39:00 6038.5 1134.25
01/06/2010 20:59:00 6035.5 1133
01/06/2010 21:00:00 6035.5 1133
;
run;

%let wsize=2;

data corr;

array xx(&wsize) (&wsize * 0);
array yy(&wsize) (&wsize * 0);
retain xx : yy :;

x2remove = xx(mod(_n_ - 1, &wsize) + 1);
*put x2remove;
y2remove = yy(mod(_n_ - 1, &wsize) + 1);

set input ( rename = (stock2 = y stock1 = x)) ;

xx(mod(_n_ - 1, &wsize) + 1) = x;
yy(mod(_n_ - 1, &wsize) + 1) = y;

sumx + x - x2remove ;
sumxsq + x**2 - x2remove**2;
sumy + y - y2remove;
sumysq + y**2 - y2remove**2;
sumxy + x * y - x2remove * y2remove;

if _n_ >= &wsize then

r = (sumxy - sumx * sumy / &wsize)/sqrt((sumxsq - sumx ** 2 /
&wsize) * (sumysq - sumy ** 2 / &wsize));

run;

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