Why doesn't this macro code run?

ZZB — Sun, 16 Sep 2018 15:19:50 GMT

options nosource;

* Rolling Beta Regression Program Notes:

* Rolling sample periods move forward one month at a time (per loop iteration)

* Default case uses 2 years or 24 months of daily data and the sample periods overlap.

* The program parameters can be changed to use a different sample length.

* In the RRLOOP macro routine below the regression coefficients are estimated by starting with

* a sample period of &YEAR1 to &YEAR1 + &NYEAR and progresses forward to end at &YEAR2.

* YEAR1 and YEAR2 are defined using START_YEAR and END_YEAR macro variables, and NYEAR= SAMPLE_YEAR

* To use end of year (December) only estimation, change MM loop to: %do mm = 12 %to 12;

* Code below also can be changed to use other regression models such as the F-F 3 factor model.

* Change PROC REG and the DATA step before the APPEND accordingly.

* Output dataset includes DATE1 and DATE2 that defines each row sample period

* Example

PERMNO date1 date2 _DEPVAR_ alpha beta _RMSE_ _RSQ_ nobs

10104 2002-02-01 2004-01-31 retrf -.000284893 1.57198 0.025787 0.38637 503

2002-03-01 2004-02-29 retrf -.000476811 1.56050 0.025747 0.37886 503

2002-04-01 2004-03-31 retrf 0.000030706 1.61115 0.023942 0.42828 506

2002-05-01 2004-04-30 retrf 0.000285565 1.60345 0.023432 0.43471 505

10107 2002-02-01 2004-01-31 retrf -.000347769 1.35198 0.014412 0.59856 503

2002-03-01 2004-02-29 retrf -.000356315 1.34827 0.014413 0.59231 503

2002-04-01 2004-03-31 retrf -.000399233 1.32516 0.014328 0.58590 506

2002-05-01 2004-04-30 retrf -.000094302 1.30637 0.014258 0.57960 505

*********************************************************************************;

I put the following macro into my code set, but SAS does not run. I even do not know the error. the log show nothing expect these original codes. Did I miss anything?

The dataset I used is MSF2. So I change the in_ds=MSF2, it still does not work.

My libname is C:/DATA.

*****************************************************;

%macro RRLOOP (year1= 2001, year2= 2005,  nyear= 2, in_ds=temp1, out_ds=work.out_ds);
  
%local date1 date2 date1f date2f yy mm;
  
/*Extra step to be sure to start with clean, null datasets for appending*/
proc datasets nolist lib=work;
  delete all_ds oreg_ds1;
run;
  
/*Loop for years and months*/
 %do yy = &year1 %to &year2;
   %do mm = 1 %to 12;
  
 /*Set date2 for mm-yy end point and date1 as 24 months prior*/
 %let xmonths= %eval(12 * &nyear); *Sample period length in months;
 %let date2=%sysfunc(mdy(&mm,1,&yy));
 %let date2= %sysfunc (intnx(month, &date2, 0,end)); *Make the DATE2 last day of the month;
 %let date1 = %sysfunc (intnx(month, &date2, -&xmonths+1, begin)); *set DATE1 as first (begin) day;
 /*FYI --- INTNX quirk in SYSFUNC:  do not use quotes with 'month' 'end' and 'begin'*/
  
/*An extra step to be sure the loop starts with a clean (empty) dataset for combining results*/
proc datasets nolist lib=work;
  delete oreg_ds1;
run;
  
/*Regression model estimation -- creates output set with coefficient estimates*/
proc reg noprint data=&in_ds outest=oreg_ds1 edf;
  where date between &date1 and &date2;  *Restricted to DATE1- DATE2 data range in the loop;
  model retrf = vwretdrf;
  by permno;
run;
  
/*Store DATE1 and DATE2 as dataset variables
and rename regression coefficients as ALPHA and BETA;*/
data oreg_ds1;
  set oreg_ds1;
  date1=&date1;
  date2=&date2;
  rename intercept=alpha  vwretdrf=beta;
  nobs= _p_ + _edf_;
  format date1 date2 yymmdd10.;
run;
  
/*Append loop results to dataset with all date1-date2 observations*/
proc datasets lib=work;
  append base=all_ds data=oreg_ds1;
run;
  
 %end;  % /*MM month loop*/
  
 %end; % /*YY year loop*/
  
/*Save results in final dataset*/
data &out_ds;
  set all_ds;
run;
  
%mend RRLOOP;
 
**********************************;
The primary output of this program is a data set with these items:


CRSP Permanent Number=10107

date1
date2
_RMSE_  Intercept
VWRETD
   regobs

01JAN2002
31DEC2004
0.057470   -.005836843
0.97255
36

01FEB2002
31JAN2005
0.057446   -.004874504
0.95958
36

01MAR2002
28FEB2005
0.057358   -.004550887
0.92014
36

01APR2002
31MAR2005
0.057448   -.005048308
0.92846
36

01MAY2002
30APR2005
0.056784   -.000042066
0.81758
36

01JUN2002
31MAY2005
0.056721   0.000278585
0.80891
36

01JUL2002
30JUN2005
0.051923   -.006355348
0.99118
36

01AUG2002
31JUL2005
0.051481   -.004585000
0.91877
36

01SEP2002
31AUG2005
0.053227   -.002505193
0.89010
36

01OCT2002
30SEP2005
0.054340   -.003183394
0.84427
36

01NOV2002
31OCT2005
0.045522   -.003110266
0.52825
36

01DEC2002
30NOV2005
0.045962   -.002508023
0.50723
36

01JAN2003
31DEC2005
0.044918   0.000198639
0.35030
36

 

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CRSP Permanent Number=10107
date1	date2	_RMSE_ Intercept	VWRETD	regobs
01JAN2002	31DEC2004	0.057470 -.005836843	0.97255	36
01FEB2002	31JAN2005	0.057446 -.004874504	0.95958	36
01MAR2002	28FEB2005	0.057358 -.004550887	0.92014	36
01APR2002	31MAR2005	0.057448 -.005048308	0.92846	36
01MAY2002	30APR2005	0.056784 -.000042066	0.81758	36
01JUN2002	31MAY2005	0.056721 0.000278585	0.80891	36
01JUL2002	30JUN2005	0.051923 -.006355348	0.99118	36
01AUG2002	31JUL2005	0.051481 -.004585000	0.91877	36
01SEP2002	31AUG2005	0.053227 -.002505193	0.89010	36
01OCT2002	30SEP2005	0.054340 -.003183394	0.84427	36
01NOV2002	31OCT2005	0.045522 -.003110266	0.52825	36
01DEC2002	30NOV2005	0.045962 -.002508023	0.50723	36
01JAN2003	31DEC2005	0.044918 0.000198639	0.35030	36