topic Re: How to change this macro? in SAS Programming

How to change this macro?

bd_user_10 — Sun, 26 Feb 2023 06:29:36 GMT

The macro below shows how you can compute a "rolling" standard deviation. For example, it gets the standard deviation for observations 1-25, then 
observations 2-26 then 3-27 … up to 476-500, and then saves this into a SAS data file.

%macro rollsd;

  proc delete data=all;
  run;

  %do firstobs = 1 %to 476;
    %let lastobs = %eval( &firstobs + 24);
    proc means data=test(firstobs=&firstobs obs=&lastobs);
      var x;
      output out=tempfile stddev=sd25;
    run;

    proc append base=all data=tempfile ;
    run;
  %end;

%mend rollsd;

I have hundreds of firms (ISIN) and each firm has different number of observations. This macro only considers the first observations from 1 to 476. 
How do i adjust this macro so that i can calculate 252 day rolling standard deviation for all firms in my dataset? Thanks in advance for your help?

Re: How to change this macro?

Kurt_Bremser — Sun, 26 Feb 2023 07:27:41 GMT

Maxim 9: There Is a Function for It.

Instead of using the MEANS procedure, use the STD function on an array.

This is an example of using an array for any kind of rolling window calculations

%let winsize=252;

data want;
set have;
by isin;
array vals {&winsize.} _temporary_;
if first.isin then call missing(of vals{*});
vals{mod(_n_,&winsize.)+1} = x;
sd&winsize. = std(of vals{*});
run;

Untested; for tested code, supply example data in a data step with datalines.

Re: How to change this macro?

Tom — Sun, 26 Feb 2023 14:53:19 GMT

Do you have SAS/ETS licensed? If so there is PROC for doing that.