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Let's deomonstrate with two weeks instead of five years.
You probably want to omit holidays as well as weekends. The best way to do
that is to build a table as a format:
proc format;
value holiday
'25dec2003'd = 'Y'
'01jan2004'd = 'Y'
other = 'N'
;
quit;
The next step generates test data (two companies, two weeks):
data demo;
do company = 'A', 'B';
do date = '21dec2003'd to '03jan2004'd; format date date9.;
if weekday(date) not in (1,7)
and put(date,holiday.) ^= 'Y'
and ranuni(1)>0.3 then do;
VarA = round(ranuni(1),0.1);
VarB = round(ranuni(1),0.1);
output;
end;
end;
end;
run;
Output:
Obs company date VarA VarB
1 A 22DEC2003 0.4 0.3
2 A 23DEC2003 1.0 0.5
3 A 24DEC2003 0.0 0.1
4 A 26DEC2003 0.9 0.1
5 A 30DEC2003 1.0 0.2
6 A 31DEC2003 0.4 0.6
7 A 02JAN2004 0.8 0.6
8 B 22DEC2003 0.7 0.5
9 B 23DEC2003 0.9 0.6
10 B 26DEC2003 0.7 0.2
11 B 30DEC2003 0.9 0.6
12 B 02JAN2004 0.4 0.2
To generate observations with missing values for days when a particular
stock did not trade, first generate a company x date "shell":
data shell / view=shell;
set demo;
by company;
keep company date;
if last.company then do date = '21dec2003'd to '03jan2004'd;
if weekday(date) not in (1,7)
and put(date,holiday.) ^= 'Y' then output;
end;
run;
Output:
Obs company date
1 A 22DEC2003
2 A 23DEC2003
3 A 24DEC2003
4 A 26DEC2003
5 A 29DEC2003
6 A 30DEC2003
7 A 31DEC2003
8 A 02JAN2004
9 B 22DEC2003
10 B 23DEC2003
11 B 24DEC2003
12 B 26DEC2003
13 B 29DEC2003
14 B 30DEC2003
15 B 31DEC2003
16 B 02JAN2004
Now fill in the actual data:
data filled_in;
merge shell demo;
by company date;
run;
Output:
Obs company date VarA VarB
1 A 22DEC2003 0.4 0.3
2 A 23DEC2003 1.0 0.5
3 A 24DEC2003 0.0 0.1
4 A 26DEC2003 0.9 0.1
5 A 29DEC2003 . .
6 A 30DEC2003 1.0 0.2
7 A 31DEC2003 0.4 0.6
8 A 02JAN2004 0.8 0.6
9 B 22DEC2003 0.7 0.5
10 B 23DEC2003 0.9 0.6
11 B 24DEC2003 . .
12 B 26DEC2003 0.7 0.2
13 B 29DEC2003 . .
14 B 30DEC2003 0.9 0.6
15 B 31DEC2003 . .
16 B 02JAN2004 0.4 0.2
On Sun, 1 Feb 2004 21:18:20 -0800, Microstructure <randistan69@HOTMAIL.COM>
wrote:
>My data is arranged in the following way
>
>date comp VarA VarB...
>jan199 A
>.
>.
>Dec 3103 A
>Jan199 B
>.
>.
>Dec3103 B
>and so forth
>
>there are some days for some companies on which their stocks were not
>traded
>I want to generate a date series from Jan 1 1999 to Dec 31 2003, for
>all days for each company (excluding saturdays and Sundays)...I tried
>using the date functions but they do not seem to be relevant for what
>I want to do.
> Please help
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