Pfthb

I have a dataset like this

data have;
 do i = 1 to 1000;
 y = ranuni(0);
 x1 = y ** 2;
 x2 = x1 ** 3;
 x3 = x2 - x1/2;
 output;
 end;
run;

I build a correlation matrix like this:

proc corr
 data = have
 out = correlation_matrix
 (where = (_TYPE_ = "CORR"))
 noprint;
run;

I've attempted to think out loud some code which would achieve something similar to what I'm looking for, the syntax nor the logic is correct but I'm having a go at describing what I'm looking for

proc sort
 data = correlation_matrix
 by _NAME_;
run;

data _temp;
 set correlation_matrix;
 array col[*] _numeric_;

 by _NAME_;

 do i = 1 to dim(col);
 if col(i) > 0.6 then do;
 %let list = append(vname(col));
 end;
run;

And from the correlation matrix, I'm looking for a way to return pairs which have a correlation of 60% or is above some threshold, the pairs I will then use to build scatter plot / histogram matrices like this

proc contents;
 data = high_correlation_pairs
 out = contents
 noprint;
run;

proc sort
 data = contents
 nodupkey;
 by name;
run;

proc sql noprint;
 select name INTO: highly_correlated_pairs
 separated by " "
 from contents
;
quit;

ODS GRAPHICS /
 IMAGEMAP=OFF;
OPTIONS VALIDVARNAME=ANY;
 PROC SGSCATTER 
 DATA=have;
 TITLE "Scatter Plot Matrix";
 FOOTNOTE;
 MATRIX &highly_correlated_pairs
 / 
 DIAGONAL=(HISTOGRAM )
 START=TOPLEFT
 NOLEGEND
 ;
 RUN;
TITLE; FOOTNOTE;

I'm just unsure how to select variables from the matrix which have a pair of over 60% correlation, it could even by a by NAME return the columns with corr over 60%

You can get the pairs like this - the key is the vname function, which returns the name of an array element:

data high_corrs;
 set correlation_matrix;
 array coefs i--x3;
 length var1 var2 $32.;
 do j = 1 to dim(coefs);
 corr = coefs(j);
 if _n_ < j and corr > 0.6 then do;
 var1 = vname(coefs(_n_));
 var2 = vname(coefs(j));
 output;
 end;
 end;
 keep var1 var2 corr;
run;

Perhaps from there you can work out the rest?

Edit: to include complete answer:

PROC TRANSPOSE is used to transpose the correlation matric to x,y pairs and subset to correlations of interest. A macro variable is created to use in PROC SGSCATTER.

NOTE: PLOTREQUESTS=x1*x2 x1*y x2*x3 x2*y

data have;
 do i = 1 to 1000;
 y = ranuni(0);
 x1 = y ** 2;
 x2 = x1 ** 3;
 x3 = x2 - x1/2;
 output;
 end;
 run;
proc corr data=have out=corr noprint;
 run;
proc transpose name=with data=corr out=pair(where=(.6 le abs(col1) lt 1));
 where _type_ eq 'CORR';
 by _name_ notsorted;
 run;
data pairV / view=pairv;
 set pair;
 call sortc(_name_,with);
 run;
proc sort data=pairv out=pair2 nodupkey;
 by _name_ with;
 run;
proc sql noprint;
 select catx('*',_name_,with) into :plotrequests separated by ' ' from pair2;
 quit;
%put NOTE: &=plotrequests;
proc sgscatter data=have;
 plot &plotrequests;
 run;
 quit;