topic Re: 1 standard deviation of from the mean, construct three portfolios. in SAS Programming

1 standard deviation of from the mean, construct three portfolios.

aarony — Thu, 11 Sep 2014 18:24:26 GMT

I want to create three pfos for each year. my variable using to cut the observation is index1.

i want to use the mean and construct

pfo1: from the lowest number to mean - 1 std dev.

pfo 2: mean - 1 std dev to mean - 1 std dev.

pfo 3: mean + 1 std dev to highest number

for each year.

i know how to obtain 1st and 99th percentile of the observations of each year

proc univariate data=pfo.merged_A1 noprint; var index1; by pfoyr;

output out=mean pctlpts=1 99 pctlpre=p; run;

i feel like i have to use something in that sort....

Many thx,

aaron

Re: 1 standard deviation of from the mean, construct three portfolios.

stat_sas — Thu, 11 Sep 2014 18:53:01 GMT

If you are okay with proc sql then you can try something like

proc sql;

create table want as

select pfoyr,min(index1) - std(index1) as profile1,

avg(index1) - std(index1) as profile2,

avg(index1) + std(index1) as profile3

from pfo.merged_A1

group by pfoyr;

quit;

Re: 1 standard deviation of from the mean, construct three portfolios.

Ksharp — Fri, 12 Sep 2014 13:49:33 GMT

If I understood what you mean.

data class;
 set sashelp.class;
run;
proc sort data=class;by sex;run;
proc summary data=class ;
by sex;
var weight;
output out=stat(drop=_:) mean=mean std=std;
run;
data want;
 merge class stat;
 by sex;
 select;
  when(weight(mean+std)) pfo=3;
  otherwise pfo=2;
end;
run;

Xia Keshan