topic Re: first order autocorrelation in SAS Programming

first order autocorrelation

bukky09 — Sun, 06 Mar 2016 21:59:36 GMT

Hi,

I am trying to find the first order autocorrelation of monthly returns for each mainstrategy. This autocorrelation should be calculated based on a 5 year rolling window. I need some help with the approprate code. I have tried others but didnt work.

so I have a data set as such

Date Return AUM mainstrategy

199512 -0.0055 26.9 Relative value

199601 0.0048 27.1 Relative value

199602 0.0089 30.7 CTA

Thank you

Re: first order autocorrelation

bukky09 — Sun, 06 Mar 2016 22:01:22 GMT

I need help with the apropriate code. I have tried others but it didnt wok. Kindly provide the help you can

Thank you

Re: first order autocorrelation

Reeza — Mon, 07 Mar 2016 00:10:03 GMT

Please post sample data and what you've tried. Also, do you have SAS/ETS licensed? If so, look into proc expand - the documentation has a good example of transformations.

Re: first order autocorrelation

Ksharp — Mon, 07 Mar 2016 01:15:43 GMT

Check this :

https://communities.sas.com/t5/SAS-IML-Software-and-Matrix/Moving-window-for-AR-1/m-p/245165#U245165

I suggested you post it at IML forum

SAS/IML Software and Matrix Computations

It is easy to be done in IML, or you can resort to SAS/ETS if you have it .