topic Re: Calculating rolling standard deviation using all prior observations in SAS Programming

Calculating rolling standard deviation using all prior observations

daradanye — Mon, 01 Oct 2018 02:45:08 GMT

Hi all,

I need SAS to calculate rolling standard deviation and number of observation it has used. Instead of controlling for number of observations I need to use (I know I can use expand in this case), I want to use all observations prior that year. Since my dataset is very large, proc sql may be very slow. I will appreciate it very much if someone can help me with this!

This is the data I have

firm	year	roa
1	1999	0.05
1	2000	0.048
1	2001	0.01
1	2002	0.02
2	1999	0.024
2	2000	0.07
2	2001	0.065

This is the data I want:

firm	year	roa	std	count
1	1999	0.05
1	2000	0.048	0.001414	2
1	2001	0.01	0.022539	3
1	2002	0.02	0.020067	4
2	1999	0.024
2	2000	0.07	0.032527	2
2	2001	0.065	0.025239	3

Many thanks!

Re: Calculating rolling standard deviation using all prior observations

ChrisNZ — Mon, 01 Oct 2018 03:38:27 GMT

Like this?

data HAVE;
input FIRM YEAR ROA;
cards;
1 1999 0.05
1 2000 0.048
1 2001 0.01
1 2002 0.02
2 1999 0.024
2 2000 0.07
2 2001 0.065
run;
proc format ;
 value prevyr (multilabel) 1999      ='Pre1999'
                           1999-2000 ='Pre2000'
                           1999-2001 ='Pre2001'
                           1999-2002 ='Pre2002'
                           1999-2003 ='Pre2003'
                           1999-2004 ='Pre2004';
run;
proc summary nway; 
  class FIRM ; 
  class YEAR / mlf; 
  var ROA; 
  output out=WANT std=;
  format YEAR prevyr.;
run;

FIRM	YEAR	_TYPE_	_FREQ_	ROA
1	Pre1999	3	1	.
1	Pre2000	3	2	0.001414
1	Pre2001	3	3	0.022539
1	Pre2002	3	4	0.020067
1	Pre2003	3	4	0.020067
1	Pre2004	3	4	0.020067
2	Pre1999	3	1	.
2	Pre2000	3	2	0.032527
2	Pre2001	3	3	0.025239
2	Pre2002	3	3	0.025239
2	Pre2003	3	3	0.025239
2	Pre2004	3	3	0.025239

Re: Calculating rolling standard deviation using all prior observations

PGStats — Mon, 01 Oct 2018 05:16:37 GMT

DIY method

data want;
count = 0;
s1 = 0;
s2 = 0;
do until(last.firm);
    set have; by firm;
    if not missing(roa) then do;
        count = count + 1;
        s1 = s1 + roa;
        s2 = s2 + roa*roa;
        if count > 1 then std = sqrt((count*s2-s1*s1)/(count*(count-1)));
        end;
    output;
    end;
drop s1 s2;
run;

Re: Calculating rolling standard deviation using all prior observations

s_lassen — Mon, 01 Oct 2018 08:02:43 GMT

It can be done using a datastep, e.g.:

data want;
  do until(last.firm);
    set have;
    by firm year;
	_sum+roa;
	_sqsum+roa*roa;
	count+not missing(roa);
	if last.year then do;
	  if count<2 then
	    std=.;
	  else std=sqrt((count*_sqsum-_sum*_sum)/(count*(count-1)));
	  end;
	  output;
	end;
  call missing (count,_sum,_sqsum);
  drop _s:;
run;

Re: Calculating rolling standard deviation using all prior observations

Ksharp — Mon, 01 Oct 2018 10:31:07 GMT

data HAVE;
input FIRM YEAR ROA;
cards;
1 1999 0.05
1 2000 0.048
1 2001 0.01
1 2002 0.02
2 1999 0.024
2 2000 0.07
2 2001 0.065
;
run;

data want;
 set have;
 by firm;
 array x{999} _temporary_;
 if first.firm then do;n=0;call missing(of x{*});end;
 n+1;
 x{n}=roa;
 std=std(of x{*});
 
run;

proc print;run;

Re: Calculating rolling standard deviation using all prior observations

daradanye — Mon, 01 Oct 2018 13:45:20 GMT

Hi Ksharp,

Thanks so much ! But I still have two more questions:

(1) What if I have more than one variables (say about 10 variables) that needs to calculate std?

(2) What if there are missing values and I only want to calculate the number of observations that have been used to calculate standard deviation?

The data I have:

firm	year	roa	bm
1	1999	0.05	3.2
1	2000	0.048
1	2001		4.4
1	2002	0.02	2.5
2	1999	0.024
2	2000		2
2	2001	0.065	3

The data I want:

firm	year	roa	stdroa	countroa	bm	stdbm	countbm
1	1999	0.05			3.2		1
1	2000	0.048	0.0014	2			1
1	2001		0.0014	2	4.4	0.84853	2
1	2002	0.02	0.0168	3	2.5	0.9609	3
2	1999	0.024
2	2000			1	2		2
2	2001	0.065	0.029	2	3	0.70711	3

Many Thanks!

Dara

Re: Calculating rolling standard deviation using all prior observations

Ksharp — Tue, 02 Oct 2018 10:29:16 GMT

1) You need 10 temporary array.
2)
data HAVE;
infile cards expandtabs;
input FIRM YEAR ROA bm;
cards;
1	1999	0.05	3.2
1	2000	0.048	 .
1	2001	 .	4.4
1	2002	0.02	2.5
2	1999	0.024	 .
2	2000	 .	2
2	2001	0.065	3
;
run;

data want;
 set have;
 by firm;
 array x1{999} _temporary_;
 array x2{999} _temporary_;

 if first.firm then do;n=0;call missing(of x1{*} x2{*]);end;
 n+1;
 x1{n}=roa;
 x2{n}=bm;
 count_roa=n(of x1{*});
 std_roa=std(of x1{*});
 count_bm=n(of x2{*});
 std_bm=std(of x2{*});
drop n;
run;