topic Re: How to create a quarterly loop for rolling regressions in SAS Programming

How to create a quarterly loop for rolling regressions

windy — Mon, 18 Nov 2019 05:23:19 GMT

Hi all,

I am doing rolling regressions with quarterly window for each ID group. I have been looking for many solutions and found out that I need to create a quarterly loop and then use proc reg with a by statement to solve my problem.

My dataset ranges from 1999:1 to 2017:3. The date variable showing the quarters is formatted in YYQC6. There are 75 quarters in total. I want to run 30-quarter rolling window regressions. Please help me to set up the macro for the quarterly loop.

Thank you in advance for any help.

Best regards,

Windy.

Re: How to create a quarterly loop for rolling regressions

ed_sas_member — Mon, 18 Nov 2019 08:18:29 GMT

Hi @windy

Could you please provide some sample data?

Thank a lot

Re: How to create a quarterly loop for rolling regressions

windy — Mon, 18 Nov 2019 11:56:14 GMT

I provided the data sample below as suggested.

Re: How to create a quarterly loop for rolling regressions

PaigeMiller — Mon, 18 Nov 2019 11:37:54 GMT

If you do an internet search for rolling regressions in SAS, there are a number of papers that provide actual code to do this.

Also, screen captures of data are never helpful. The proper way to provide data for use in the SAS communities is given here: https://communities.sas.com/t5/SAS-Communities-Library/How-to-create-a-data-step-version-of-your-data-AKA-generate/ta-p/258712

Re: How to create a quarterly loop for rolling regressions

windy — Mon, 18 Nov 2019 11:54:42 GMT

Thank you @PaigeMiller I edited it. I am also looking for the solutions in the internet. But I am too new to SAS, so I am still struggling with understanding the codes.

@ed_sas_member

This is how the data sample looks like. I made the ID and date in bold.

data WORK.INCORDATA;
infile datalines dsd truncover;

input cd_msa:BEST. cd_msa_gdp:BEST. cd_msa_hpi:BEST. cd_msa_uer:BEST. year:32. quarter:32. _TYPE_:32. _FREQ_:32. delq_reo:32. delq_90d:32. delq_60d:32. delq_ss:32. delq_repch:32. fico:32. cltv:32. dti:32. datenew:YYQC. gdp:32. gdp_growth:32. hpi:32. uer:32
. realgdp:32. realgdp_growth:32. FEDFUNDS:32. MORTGAGE30US:32. State:$12. jury:BEST12. SRR:BEST12. PD:BEST12.;
format cd_msa BEST. cd_msa_gdp BEST. cd_msa_hpi BEST. cd_msa_uer BEST. datenew YYQC. jury BEST12. SRR BEST12. PD BEST12.;
label cd_msa="cd_msa" cd_msa_gdp="cd_msa_gdp" cd_msa_hpi="cd_msa_hpi" cd_msa_uer="cd_msa_uer" State="State" jury="JP" SRR="SRR" PD="PD";
datalines;
. . 29460 . . . . . . . . . . . . . . . . . . . . . . . . .
. . 37460 . . . . . . . . . . . . . . . . . . . . . . . . .
. . 42100 . . . . . . . . . . . . . . . . . . . . . . . . .
10380 . . . 1999 1 7 1 0 0 0 0 0 753 80 31 1999:1 . . . . . . 4.7324444444 6.8779885492 . . .
13644 . . . 1999 1 7 998 0 0 0 0 0 766.92685371 73.71242485 34.651302605 1999:1 . . . . . . 4.7324444444 6.8779885492 . . .
;;;;