topic calculating lag 1, 2 and 3 in SAS Procedures

calculating lag 1, 2 and 3

Khang — Wed, 07 Jun 2017 05:16:21 GMT

I want to calculate 3 lag values of invest i.e. lag1, lag2, lag3, but the problem is some of the years in my data are missing, how could it be treated

year	CUSIP	Invest
2003	BN5522	3109000
2004	BN5522	2997000
2005	BN5522	3496000
2006	BN5522	2998873
2009	BN5522	4642000
2010	BN5522	5006000
2011	BN5522	4837000
2012	BN5522	6312000
2003	APC6748L	26679
2004	APC6748L	29661
2005	APC6748L	65606
2007	APC6748L	28439
2008	APC6748L	18375
2011	APC6748L	62001
2012	APC6748L	39696
2013	APC6748L	39492
2003	BM01045	.
2004	BM01045	0
2005	BM01045	741997
2008	BM01045	80947
2009	BM01045	142666

Re: calculating lag 1, 2 and 3

Reeza — Wed, 07 Jun 2017 05:18:02 GMT

If you have SAS/ETS use PROC EXPAND. You may need to use PROC TIMESERIES to complete the series.

Re: calculating lag 1, 2 and 3

Shmuel — Wed, 07 Jun 2017 05:36:26 GMT

Instead of using LAG it will be easier to transpose the dataset and then

define array of yearly invests. Try:

proc transpose data=have
       out=temp(drop=_name_) profix=yr;
  by CUSIP;
  id YEAR;
  var INVEST;
run;

data temp1;
 set temp;
     array y_invest yr2000-yr2015;
     ...  any other code to do the job ...
run;

Re: calculating lag 1, 2 and 3

mkeintz — Wed, 07 Jun 2017 19:52:03 GMT

I take it that you only want exact 1-year, 2-year, and 3-year lags. This program does that.

Note I use nested IFN's. That's because every alternative outcome in an IFN is evaluated, whether the if-condition is true or not (i.e. regardless of which outcome is chosen). This ensures that the fifo queues underlying the LAG functions are always properly synchronized.

data want (drop=seq);

set have;

by cusip;

seq+1;

if first.cusip then seq=1;

lgyears1= ifn(seq>1,ifn(lag1(year)=year-1,lag1(invest),.),.);

lgyears2= ifn(seq>2,ifn(lag2(year)=year-2,lag2(invest),.),.);

lgyears3= ifn(seq>3,ifn(lag3(year)=year-3,lag3(invest),.),.);

run;

Now, if you only want to keep years which have a complete set of non-missing lags, then put a subsetting IF statement

if nmiss(lgyears1,lgyears2,lgyears3)=0;

just before the RUN statement.