Creating rolling "betas" using regressions on time-series data

mahler_ji — Wed, 11 Feb 2015 11:52:44 GMT

Hello All,

I have data that, essentially, takes the following form:

Date var1 var2

x/x/xx 2 3

x/x/xx 2 2

x/x/xx 2 1

x/x/xx 3 5

x/x/xx 2 1

and so on. What I want to do is regress one variable on another for the previous y periods, and then have the regression beta be output as a variable in the dataset. For example, if I picked y = 5, I would take an observation, regress var1 on var2 for the past 5 periods, and then the code would return that regression coefficient as a variable in the dataset.

I may have done a bad job explaining this, but if you have any questions, please let me know.

Thanks,

John

Re: Creating rolling "betas" using regressions on time-series data

Ksharp — Thu, 12 Feb 2015 09:28:13 GMT

Create a new table for that previous y periods , like :

%let y=5 ;

data temp;

merge have(keep=date var1) have(firstobs=&y keep=var2);

run;

after that proc reg data=have .

But That might be a bad idea. You'd post it at Foreasting Forum for seeking a Auto Regression Model .

Xia Keshan

topic Creating rolling "betas" using regressions on time-series data in SAS Procedures

Creating rolling "betas" using regressions on time-series data

Re: Creating rolling "betas" using regressions on time-series data