topic Re: Rolling window regression for one company in SAS Programming

Rolling window regression for one company

Whitepepper — Thu, 06 Jun 2024 09:57:48 GMT

Dear community,

I have trouble when I try to write code for rolling window regression for a company. I need to get the estimate for each company within a rolling window of 60-month. I searched for the belowing solution, but it ignores different companies. For example, the last observations of first company A will be computed into the second company B.

What I NEED is for each company, the rolling window regression is computed from the beginning.

Could you please help me to solve this issue, I need improvement for the code. Let the code tell different company when it goes through the rolling window.

Best regards!!!!!!!!!!!!

DATA rwin / view=rwin;

ws = 60;
nwin = nrecs - ws +1;
do w=1 to nwin;
do p=w to w + ws -1;
set part1 point=p nobs=nrecs;
output;
end;
end;

run;

Re: Rolling window regression for one company

PaigeMiller — Thu, 06 Jun 2024 11:03:46 GMT

Go to your favorite interent search engine, type in

rolling window regression in sas

and you will find lots of code that has already been written for this problem.

Re: Rolling window regression for one company

Whitepepper — Thu, 06 Jun 2024 11:08:42 GMT

Dear PaigeMiller,

Thanks for your information. However, I really cannot find anything solving the different companies issue.

Best regards

Re: Rolling window regression for one company

PaigeMiller — Thu, 06 Jun 2024 11:54:29 GMT

Seems like the other thread on this topic, which you posted in, contains specific code to do this. But I also see a Google search contains other links which also have code for the multiple company part of the problem.