lead and lag-proc expand

mei — Fri, 04 May 2012 11:50:40 GMT

I have the following programming codes to create lags and lead value:

proc sort data=main

out=sorted; by permno fyear; run;

proc expand data=sorted out=sorted method = none;

by permno;

id fyear;

convert idiorisk = idiorisk_lag1 / transformout=(lag 1);

convert idiorisk = idiorisk_lag2 / transformout=(lag 2);

convert idiorisk = idiorisk_lag3 / transformout=(lag 3);

convert idiorisk = idiorisk_lag4 / transformout=(lag 4);

convert idiorisk = idiorisk_lead1 / transformout=(lead 1);

convert idiorisk;

run;

there is a view that ' method=none ' is not appropriate for time series data. Is that true?

i attach my data for your reference, the result looks fine.

Re: lead and lag-proc expand

Haikuo — Fri, 04 May 2012 13:19:57 GMT

Since you are not really doing 'expanding' per se, for your purpose, using '' method=none ' is appropriate.

Regards,

Haikuo