Creating rolling windows of data

merton76 — Tue, 30 Jun 2015 05:41:33 GMT

Hi,

We want to create rolling windows of time series data. We are able to do this for one ID, however we are unsure how to group for multiple IDs

The following code works for one ID and is taken from http://www.lexjansen.com/nesug/nesug12/fi/fi08.pdf:

DATA rwin / view=rwin;

ws = 52;

nwin = nrecs - ws +1;

do w=1 to nwin;

do p=w to w + ws -1;

set have point=p nobs=nrecs;

output;

end;

stop;

run;

proc reg data=rwin noprint outest=stats tableout;

by w;

model y=x1 x2;

quit;

Re: Creating rolling windows of data

Ksharp — Tue, 30 Jun 2015 13:46:00 GMT

Post your test data and the output you need .