https://communities.sas.com/t5/SAS-Data-Management/Data-for-rolling-regression/m-p/307289#M8786 <P>Thank you. But how about if one stock has data for more than 10 years (ex.) but some data in some months are missing in 36 month rolling window, should we delete the loop or stock?&nbsp;</P> Wed, 26 Oct 2016 02:45:43 GMT yotsuba88 2016-10-26T02:45:43Z https://communities.sas.com/t5/SAS-Data-Management/Data-for-rolling-regression/m-p/307179#M8777 <P>"Only stocks which have a complete return history over the 36-month rolling regression window are included in our analysis" &nbsp;cited in Residual Momentum of David Blitz et al 2011.&nbsp;</P><P>I understand that only stocks that contain not enough 36 month data from its start date to the last date will be deleted. Is that right? I am really confused this, because when I create loop without enough 36 months, for ex. only 34,35, must I drop the stock?</P><P>&nbsp;</P><P>Many thank</P><P>Ha</P> Tue, 25 Oct 2016 16:38:17 GMT https://communities.sas.com/t5/SAS-Data-Management/Data-for-rolling-regression/m-p/307179#M8777 yotsuba88 2016-10-25T16:38:17Z https://communities.sas.com/t5/SAS-Data-Management/Data-for-rolling-regression/m-p/307195#M8778 <P>That sound correct.&nbsp;</P> <P>Only stocks with all data available is considered.&nbsp;</P> Tue, 25 Oct 2016 17:57:42 GMT https://communities.sas.com/t5/SAS-Data-Management/Data-for-rolling-regression/m-p/307195#M8778 Reeza 2016-10-25T17:57:42Z https://communities.sas.com/t5/SAS-Data-Management/Data-for-rolling-regression/m-p/307289#M8786 <P>Thank you. But how about if one stock has data for more than 10 years (ex.) but some data in some months are missing in 36 month rolling window, should we delete the loop or stock?&nbsp;</P> Wed, 26 Oct 2016 02:45:43 GMT https://communities.sas.com/t5/SAS-Data-Management/Data-for-rolling-regression/m-p/307289#M8786 yotsuba88 2016-10-26T02:45:43Z