SAS - correlation matrix and heat map

sas_correlation_heat_map.sas

/*This program is based on the question here:
https://communities.sas.com/t5/SAS-GRAPH-and-ODS-Graphics/Removing-one-of-the-legends-from-a-heatmap/m-p/456131

The purpose is to create a correlation heatmap from a correlation matrix. 
Author: F. Khurshed
Date: 2018-04-20
*/

*calculate correlation matrix for the data;
ods output PearsonCorr=Corr_P;

PROC CORR DATA=sashelp.cars;
    VAR MSRP Horsepower MPG_City MPG_Highway Weight;
RUN;

*sort for transposes;
proc sort data=Corr_P;
    by VARIABLE;
run;

*restructure data so that it's in a long format for graphing;
*need to transpose the correlation and p-values separately;
proc transpose data=Corr_P out=CorrLong1(rename=(COL1=Correlation)) 
        name=CorrelationID;
    var MSRP Horsepower MPG_City MPG_Highway Weight;
    by Variable;
run;

proc transpose data=Corr_P out=CorrLong2(rename=(COL1=p_value)) name=PvalueID;
    var PMSRP PHorsepower PMPG_City PMPG_Highway PWeight;
    by Variable;
run;

*merge data sets to get p-value and correlation in right places;
data CorrLong;
    merge CorrLong1 CorrLong2(drop=PvalueID );
    by Variable;
    LABEL CorrelationID="Correlations"; run;

*sort for graphing;
proc sort data=CorrLong;
    by VARIABLE CorrelationID;
run;


*create a heat map graph with P-Values in the squares;
proc sgplot data=CorrLong noautolegend;
heatmap x=Variable y=CorrelationID / colorresponse=Correlation name="nope1" discretex discretey x2axis colormodel=ThreeColorRamp; *Colorresponse allows discrete squares for each correlation. x2axis bring the label to the top;
text x=Variable y=CorrelationID text=p_value  / textattrs=(size=10pt) x2axis name='nope2'; /*To overlay significance, create a variable that contans that info and set text=VARIABLE */
label correlation='Pearson Correlation';
yaxis reverse display=(nolabel);
x2axis display=(nolabel);
gradlegend;

run;

*Another variabion from Warren Kuhfield;
*source https://communities.sas.com/t5/Statistical-Procedures/Filtering-Correlation-Matrix/m-p/645565;

proc format;
	value CorrSignif -0.0-<0.2 = "red"
		 			 0.2-<0.4, -0.4-<-0.2 = "orange"
		 			 0.4-<0.6, -0.6-<-0.4 = "yellow"
		 			 0.6-<0.8, -0.8-<-0.6 = "lightgreen"
		 			 0.8-<1.0, -1.0-<-0.8= "forestgreen"
		 			 1, -1 = "White";
run;

proc corr data=sashelp.cars outp=CorrOut (where=(_type_='CORR')) noprint;
run;

proc print data=CorrOut (drop=_type_ rename=(_name_=Variable))
		   style(column)={backgroundcolor= CorrSignif.} noobs;
run;