Date:         Mon, 16 Apr 2007 14:45:41 -0400
Reply-To:     Gerhard Hellriegel <gerhard.hellriegel@T-ONLINE.DE>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         Gerhard Hellriegel <gerhard.hellriegel@T-ONLINE.DE>
Subject:      Re: SAS Macro qn/rolling regression

I've tried to complete it, but I saw another solution without a macro loop!
I think there are too much iterations for a macro loop, better rearrange the
data and use BY processing.
I cannot try it out, because I don't have STAT and therefor your macro
doesn't run here.


options nocenter;

data try;

  set data.allfunds;

run;



proc datasets lib=work;

  delete final_roll_est_rsq;

run;



options mprint;

%macro rollingreg(data=try , regn=36 , totn=11236, outname= );

  %do i= &regn %to &totn;



     data _null_;

       x=&i - &regn +1;

       call symput('start',trim(left(x)));

     run;



     data temp;

       set &data(firstobs=&start obs=&i) end=eof;

       if eof then rp=.;

     run; /*proc print data=temp; run; */



     ods select none;



/* use OUTEST= and ADJRSQ options */

     proc reg data=temp outest=rsq(keep=Intercept smb hml rref indrf umd
_RSQ_ _ADJRSQ_) adjrsq;
       model rp= smb hml rref indrf umd ds ts dy;

     run; quit;



     data rsq;

       set rsq;

       firstobs=&start;

       lastobs=&i;

     run;



/*ods select all; proc print data=rsq; run; */



     proc append base=&outname data=rsq;

     run;



%end; %mend;



%rollingreg(data=try, regn=36 , totn=11236 );



ods select all; proc print data=final_roll_est_rsq; *proc means;*var _rsq_
_adjrsq_; run;








%macro doit;

proc sort nodupkey force data=data.allfunds(keep=icdi_no) out=dummy;

  by icdi_no;

run;



%let id_no=0;

data _null_;

  set dummy;

  call symput("id_no",_n_);

  call symputx("id"!!compress(put(_n_,8.)),icdi_no);

run;





data

  %do n=1 %to &id_no;

    d&n

  %end; ;

  set data.allfunds;

  %do n=1 %to &id_no;

    if icdi_no="&&id&n" then output d&n;

  %end;

run;







%do n=1 %to &id_no;

  data _null_;

    set d&n nobs=no;

    call symput("obs&n",no);

    stop;

  run;





  %rollingreg(data=d&n , regn=36 , totn=&&obs&n, outname=out&n );



%end;

%mend;

%doit;



Gerhard








On Mon, 16 Apr 2007 04:26:45 -0400, Abhay Kaushik <abhaykaushik@HOTMAIL.COM>
wrote:

>Hi All
>I am analyzing the performance of 1430 mutual funds. It is a time
>series and I need to estimate intercepts of this time series using a
>window of 36 observations. This means 1 to 36 regression and then
>regression on observation 2 to 37 and so on. Each fund has its
>identification number (icdi_no) and date (caldt). It is a time series
>where observations for each fund are stacked over each other and
>different fund may have different number of observations.  For example
>Fund 1 has 100 monthly observations starting period lets say Jan 1990
>and end period is April 1998 and then Fund 2 observations start and it
>may have 120 observations and so on. I have dependent variable (Y) and
>explanatory variables X1, X2 and so on for each fund for each given
>date. For each ID, I need to run "rolling window" regressions, where
>the "rolling window" is 36 observations long.  That is, for each
>icdi_no, I need to run a regression using observations 1 to 36, a
>regression using observations 2 to 37, a regression using observations
>3 to 38,...., a regression using the last 36 observations available for
>that icdi_no.
>I need to store parameters of each rolling window regression of
>each "icdi_no"  along with corresponding "caldt" (of last observation for
>example for 1st reg it is 36th and second it is 37th) into a single
>dataset, since I need to use them for further regressions.
>I have 1400+ firms in my data; I want to create a loop or string in that
>program in a way that SAS reads data by icdi_no and once first icdi_no
>observations are finished it goes to second icdi_no and run the similar
>roll regression.
>Following codes that I am using work fine but this program is only able to
>give me rolling estimates for only one fund at a time and do not tell me
>the icdi_no and corresponding caldt.
>
>My program is:
>
>libname data "c:\e1\sf";
>options nocenter;
>data try;
>set data.allfunds;
>run;
>proc datasets lib=work;
>  delete final_roll_est_rsq;
>run;
>options mprint;
>%macro rollingreg(data=try , regn=36 , totn=11236 );
>%do i= &regn %to &totn;
>
>data _null_;
>  x=&i - &regn +1;
>  call symput('start',trim(left(x)));
>run;
>
>data temp;
>   set &data(firstobs=&start obs=&i) end=eof;
>   if eof then rp=.;
>run;
> /*proc print data=temp;
>run; */
>ods select none;
>
>  /*  use OUTEST= and ADJRSQ options  */
>proc reg data=temp
>  outest=rsq(keep=Intercept smb hml rref indrf umd _RSQ_ _ADJRSQ_) adjrsq;
>  model rp= smb hml rref indrf umd ds ts dy;
>run;
>quit;
>
>data rsq; set rsq;
>  firstobs=&start;
>  lastobs=&i;
>run;
>
> /*ods select all;
>proc print data=rsq;
>run; */
>
>proc append base=final_roll_est_rsq data=rsq;
>run;
>
>%end;
>%mend;
>
>%rollingreg(data=try, regn=36 , totn=11236 );
>
>ods select all;
>proc print data=final_roll_est_rsq;
>*proc means;*var _rsq_ _adjrsq_;
>run;
>
>
>I need a)
>to include all the funds in that program and able to get output
>containing both the id and corresponding date of those estimates.
>
>Any help is extremely appreciated.