topic Moving averages with varying time periods in SAS Programming

Moving averages with varying time periods

Akarsh91 — Thu, 08 Jun 2017 19:06:11 GMT

Dear Experts,

I have the folloowing information

data have;
  infile datalines dlm=',' dsd truncover;
  input ID. Returns  year;
 datalines;
1,1.01,1968
1,1.04,1969
1,1.001,1970
1,1.005,1971
1,1.02,1972
1,1.02,1973
1,1.06,1980
1,1.06,1981
1,1.0014,1982
run;

ID Date year

1 1.01 1968

1 1.04 1969

1 1.001 1970

1 1.005 . 1971

1 1.02 1972

1 1.02 1973

1 1.06 1980

1 1.06 1981

1 1.0014 1982

I would like to calculate the 2 yearly moving averages for group ID 1. The problem however is that the returns from 1974 to 1979 i are missing. How can one calculate moving average by year, such that for the years 1968 to 1973 and seperately for 1980 to 1982 in the same dataset? Could anyone help with the SAS code that could accomplish this task.

Please write if you need more information.

Regards
Akarsh91

Re: Moving averages with varying time periods

Reeza — Thu, 08 Jun 2017 19:39:35 GMT

PROC EXPAND. Search on here or the DOCS for examples.

Re: Moving averages with varying time periods

Patrick — Thu, 08 Jun 2017 22:22:15 GMT

@Akarsh91

This article could be helpful to you: http://blogs.sas.com/content/iml/2016/01/27/moving-average-in-sas.html

The following Google search string will return quite a few helpful hits:

site:*.sas.com rick wicklin moving average

Re: Moving averages with varying time periods

Ksharp — Fri, 09 Jun 2017 14:01:04 GMT

If you don't have big table, try SQL.

data have;
  infile datalines dlm=',' dsd truncover;
  input ID Returns  year;
 datalines;
1,1.01,1968
1,1.04,1969
1,1.001,1970
1,1.005,1971
1,1.02,1972
1,1.02,1973
1,1.06,1980
1,1.06,1981
1,1.0014,1982
run; 
proc sql;
select *,(select mean(returns) from have 
where id=a.id and year between a.year-2 and a.year) as rolling_mean
 from have as a;
quit;