topic Re: Not sure how to write a macro for the following in SAS Programming

Not sure how to write a macro for the following

toddtodd — Fri, 01 Mar 2013 00:10:28 GMT

Also, here is an example. Lhat_t = current loss_t * tmp2 + lhat_t-1 * tmp1

At each week lhat is calculated based on the lhat last week and the new current loss.

tmp1=	0.986629
tmp2=	0.013371

Weekid	current Loss	lhat
1	0.0120	0.0120
2	0.0050	0.0119
3	0.0000	0.0117
4	0.0230	0.0119

I am trying to write the code below as a loop.

data work.alldata_lhat;

set work.alldata_lhat;

by secid;

if count=1 then oldlhat=current_loss;

if count=1 then lhat=tmp1*oldlhat+tmp2*current_loss;

oldlhat=lag(lhat);if count> 1 then lhat=tmp1*oldlhat+tmp2*current_loss;

oldlhat=lag(lhat);if count> 2 then lhat=tmp1*oldlhat+tmp2*current_loss;

oldlhat=lag(lhat);if count> 3 then lhat=tmp1*oldlhat+tmp2*current_loss;

oldlhat=lag(lhat);if count> 4 then lhat=tmp1*oldlhat+tmp2*current_loss;

oldlhat=lag(lhat);if count> 5 then lhat=tmp1*oldlhat+tmp2*current_loss;

_loss;

Re: Not sure how to write a macro for the following

esjackso — Fri, 01 Mar 2013 02:41:23 GMT

If I am understanding what you need, I dont think you need a macro for this. I dont have access to SAS right this second to verify this but I think something like this will work:

data work.alldata_lhat;

set work.alldata_lhat;

by secid;

tmp1 = 0.986629;

tmp2 = 0.013371;

if first.secid then do;

oldhat=current_loss;

lhat=tmp1*oldlhat+tmp2*current_loss;

end;

else do;

oldhat=lhat;

lhat=tmp1*oldlhat+tmp2*current_loss;

end;

retain oldhat lhat;

run;

Re: Not sure how to write a macro for the following

Tom — Fri, 01 Mar 2013 02:41:54 GMT

What is the question? The code looks really strange to me. I would have expected to see something using a RETAIN statement to carry the value forward to use in calculating the new value. You are not using the BY statement for anything.

data old;

input Weekid current_Loss want ;

secid=1;

cards;

1 0.0120 0.0120

2 0.0050 0.0119

3 0.0000 0.0117

4 0.0230 0.0119

;;;;

data new;

retain tmp1 0.986629 tmp2 0.013371 ;

set old;

by secid ;

if first.secid then oldhat=current_loss;

lhat = tmp1*oldhat + tmp2*current_loss;

output;

oldhat=lhat;

retain oldhat ;

run;

ID CURRENT_LOSS LHAT WANT

1 0.012 0.012 0.012

2 0.005 0.011906403 0.0119

3 0 0.0117472025 0.0117

4 0.023 0.0118976636 0.0119

If you want to turn it into a macro then what part of the above changes? Is it the constants used in the formula?

Re: Not sure how to write a macro for the following

toddtodd — Fri, 01 Mar 2013 05:45:11 GMT

Thank you. I will try the code out. The example was for one secid. I have 25,000 secid where some of the secid have over 2400 weeks of loss information.