SAS for Finance

Model selection and fitting

The modeler decided to test which of the variables could be important in predicting the variable stock. PROC CORR was run to test the relative strength of the predictor (independent/regressor) variables and the outcome (dependent) variable.

The PROC correlation code is as follows:

PROC CORR DATA=model outp=corr nosimple; 
ID Date; 
WITH Stock; 
VAR Basket_index -- M1_money_supply_index; 
RUN; 
 

The correlation was run across all of the eight independent variables. The correlation values were expected to be between -1 and 1. The negative sign denotes that the dependent and independent variables are inversely correlated. The higher the value of the correlation coefficient close to -1 or 1, the greater the strength of ...