How to simplify code and do loops?

yelena — Wed, 20 Apr 2016 17:31:35 GMT

Dear friends,

I wrote a code that calculates eight lags and eight leads for each macro variable in my list and then uses OLS and WLS to calculate R-squared. But my code is not well written since for each lag and lead I had to copy-paste the same procedure and then manually modify it for the corresponding lag or lead. Is there any way I can create a loop for lags and leads, say, for i = 1:8, create lags, or for j =1:8, create leads and then run the following steps blah-blah-blah.

Also, once I created lags and leads for each macro variable, I have a column lag_1 or lead_1 and row that shows the name of the macrov variable. But if later on I need to use, say BBB_lag_1 in my OLS regression, I don't know how to identify that specific cell. Does anyone know what the best way to assign names for each variable in column lag_1 that corresponds to the name of the appropriate row (say, BBB) and then attach the name of the appropriate column (say, lag_1). I am sorry for my English. It is probably confusing.

The code is attached.

libname UB 'blah-blah-blah';

%let macro = ub.macro_lgd_f1f8_LZ_YT;

%let list =

rGDP_grw

rGDP_grw_yoy

nGDP_grw

nGDP_grw_yoy

rDPI_grw

rDPI_grw_yoy

nDPI_grw

nDPI_grw_yoy

ata ub.laglead;

set &macro;

array var_list(*) &list;

do i = 1 to dim(var_list);

variable = vname(var_list(i));

value = var_list(i);

output;

end;

keep Date AVG_LGD variable value ;

run;

proc sort data=ub.laglead;

by variable date;

run;

* Create 8 lags and 8 leads of each macro variable in the list;

data ub.laglead;

set ub.laglead;

by variable;

lag_1=ifn(first.variable=0,lag(value),.);

lag_2=ifn(lag2(variable)=variable, lag2(value),.);

lag_3=ifn(lag3(variable)=variable, lag3(value),.);

lag_4=ifn(lag4(variable)=variable, lag4(value),.);

lag_5=ifn(lag5(variable)=variable, lag5(value),.);

lag_6=ifn(lag6(variable)=variable, lag6(value),.);

lag_7=ifn(lag7(variable)=variable, lag7(value),.);

lag_8=ifn(lag8(variable)=variable, lag8(value),.);

if eof1=0 then set ub.laglead (firstobs=2 keep=value rename=(value=lead_1)) end=eof1;

if last.variable then lead_1 =.;

if eof2=0 then set ub.laglead (firstobs=3 keep=variable value rename=(variable=variable3 value=lead_2)) end=eof2;

if variable3^= variable then lead_2 =.;

drop variable3;

if eof3=0 then set ub.laglead (firstobs=4 keep=variable value rename=(variable=variable4 value=lead_3)) end=eof3;

if variable4^= variable then lead_3 =.;

drop variable4;

if eof4=0 then set ub.laglead (firstobs=5 keep=variable value rename=(variable=variable5 value=lead_4)) end=eof4;

if variable5^= variable then lead_4 =.;

drop variable5;

if eof5=0 then set ub.laglead (firstobs=6 keep=variable value rename=(variable=variable6 value=lead_5)) end=eof5;

if variable6^= variable then lead_5 =.;

drop variable6;

if eof6=0 then set ub.laglead (firstobs=7 keep=variable value rename=(variable=variable7 value=lead_6)) end=eof6;

if variable7^= variable then lead_6 =.;

drop variable7;

if eof7=0 then set ub.laglead (firstobs=8 keep=variable value rename=(variable=variable8 value=lead_7)) end=eof7;

if variable8^= variable then lead_7 =.;

drop variable8;

if eof8=0 then set ub.laglead (firstobs=9 keep=variable value rename=(variable=variable9 value=lead_8)) end=eof8;

if variable9^= variable then lead_8 =.;

drop variable9;

run;

*Calculate Rsquared using ordinary OLS;

** Run an OLS regression where the dependent variable is LGD and independent varialbe (one at a time) macroeconomic variable;

proc reg data=ub.laglead outest=ub.OLS_est_value tableout;

by variable;

model AVG_LGD=value/selection=rsquare b;

output out=ub.OLS_pred_value residual=OLS_residual_value predicted=OLS_predicted_value;

run;

*ods graphics off;

proc print data=ub.OLS_est_value;

run;

****************************EIGHT LAGS *****************************;

* Lag 1;

*ods graphics on;

proc reg data=ub.laglead outest=ub.OLS_est_lag_1 tableout;

by variable;

model AVG_LGD=lag_1/selection=rsquare b;

output out=ub.OLS_pred_lag1 residual=OLS_residual_lag1 predicted=OLS_predicted_lag1;

run;

*ods graphics off;

proc print data=ub.OLS_est_lag_1;

run;

* Lag 2;

proc reg data=ub.laglead outest=ub.OLS_est_lag_2 tableout;

by variable;

model AVG_LGD=lag_2/selection=rsquare b;

output out=ub.OLS_pred_lag2 residual=OLS_residual_lag2 predicted=OLS_predicted_lag2;

run;

*ods graphics off;

proc print data=ub.OLS_est_lag_2;

run;

* Lag 3;

proc reg data=ub.laglead outest=ub.OLS_est_lag_3 tableout;

by variable;

model AVG_LGD=lag_3/selection=rsquare b;

output out=ub.OLS_pred_lag3 residual=OLS_residual_lag3 predicted=OLS_predicted_lag3;

run;

*ods graphics off;

proc print data=ub.OLS_est_lag_3;

run;

* Lag 4;

proc reg data=ub.laglead outest=ub.OLS_est_lag_4 tableout;

by variable;

model AVG_LGD=lag_4/selection=rsquare b;

output out=ub.OLS_pred_lag4 residual=OLS_residual_lag4 predicted=OLS_predicted_lag4;

run;

*ods graphics off;

proc print data=ub.OLS_est_lag_4;

run;

* Lag 5;

proc reg data=ub.laglead outest=ub.OLS_est_lag_5 tableout;

by variable;

model AVG_LGD=lag_5/selection=rsquare b;

output out=ub.OLS_pred_lag5 residual=OLS_residual_lag5 predicted=OLS_predicted_lag5;

run;

*ods graphics off;

proc print data=ub.OLS_est_lag_5;

run;

* Lag 6;

proc reg data=ub.laglead outest=ub.OLS_est_lag_6 tableout;

by variable;

model AVG_LGD=lag_6/selection=rsquare b;

output out=ub.OLS_pred_lag6 residual=OLS_residual_lag6 predicted=OLS_predicted_lag6;

run;

*ods graphics off;

proc print data=ub.OLS_est_lag_6;

run;

* Lag 7;

proc reg data=ub.laglead outest=ub.OLS_est_lag_7 tableout;

by variable;

model AVG_LGD=lag_7/selection=rsquare b;

output out=ub.OLS_pred_lag7 residual=OLS_residual_lag7 predicted=OLS_predicted_lag7;

run;

*ods graphics off;

proc print data=ub.OLS_est_lag_7;

run;

* Lag 8;

proc reg data=ub.laglead outest=ub.OLS_est_lag_8 tableout;

by variable;

model AVG_LGD=lag_8/selection=rsquare b;

output out=ub.OLS_pred_lag8 residual=OLS_residual_lag8 predicted=OLS_predicted_lag8;

run;

*ods graphics off;

proc print data=ub.OLS_est_lag_8;

run;

****************************EIGHT LEADS *****************************;

* Lead 1;

*ods graphics on;

proc reg data=ub.laglead outest=ub.OLS_est_lead_1 tableout;

by variable;

model AVG_LGD=lead_1/selection=rsquare b;

output out=ub.OLS_pred_lead1 residual=OLS_residual_lead1 predicted=OLS_predicted_lead1;

run;

*ods graphics off;

proc print data=ub.OLS_est_lead_1;

run;

* Lead 2;

proc reg data=ub.laglead outest=ub.OLS_est_lead_2 tableout;

by variable;

model AVG_LGD=lead_2/selection=rsquare b;

output out=ub.OLS_pred_lead2 residual=OLS_residual_lead2 predicted=OLS_predicted_lead2;

run;

*ods graphics off;

proc print data=ub.OLS_est_lead_2;

run;

* Lead 3;

proc reg data=ub.laglead outest=ub.OLS_est_lead_3 tableout;

by variable;

model AVG_LGD=lead_3/selection=rsquare b;

output out=ub.OLS_pred_lead3 residual=OLS_residual_lead3 predicted=OLS_predicted_lead3;

run;

*ods graphics off;

proc print data=ub.OLS_est_lead_3;

run;

* Lead 4;

proc reg data=ub.laglead outest=ub.OLS_est_lead_4 tableout;

by variable;

model AVG_LGD=lead_4/selection=rsquare b;

output out=ub.OLS_pred_lead4 residual=OLS_residual_lead4 predicted=OLS_predicted_lead4;

run;

*ods graphics off;

proc print data=ub.OLS_est_lead_4;

run;

* Lead 5;

proc reg data=ub.laglead outest=ub.OLS_est_lead_5 tableout;

by variable;

model AVG_LGD=lead_5/selection=rsquare b;

output out=ub.OLS_pred_lead5 residual=OLS_residual_lead5 predicted=OLS_predicted_lead5;

run;

*ods graphics off;

proc print data=ub.OLS_est_lead_5;

run;

* Lead 6;

proc reg data=ub.laglead outest=ub.OLS_est_lead_6 tableout;

by variable;

model AVG_LGD=lead_6/selection=rsquare b;

output out=ub.OLS_pred_lead6 residual=OLS_residual_lead6 predicted=OLS_predicted_lead6;

run;

*ods graphics off;

proc print data=ub.OLS_est_lead_6;

run;

* Lead 7;

proc reg data=ub.laglead outest=ub.OLS_est_lead_7 tableout;

by variable;

model AVG_LGD=lead_7/selection=rsquare b;

output out=ub.OLS_pred_lead7 residual=OLS_residual_lead7 predicted=OLS_predicted_lead7;

run;

*ods graphics off;

proc print data=ub.OLS_est_lead_7;

run;

* Lead 8;

proc reg data=ub.laglead outest=ub.OLS_est_lead_8 tableout;

by variable;

model AVG_LGD=lead_8/selection=rsquare b;

output out=ub.OLS_pred_lead8 residual=OLS_residual_lead8 predicted=OLS_predicted_lead8;

run;

*ods graphics off;

proc print data=ub.OLS_est_lead_8;

run;

Re: How to simplify code and do loops?

Reeza — Wed, 20 Apr 2016 18:42:28 GMT

Do you have a license for SAS/ETS?

Proc setinit;run;

Re: How to simplify code and do loops?

yelena — Wed, 20 Apr 2016 19:25:09 GMT

Dear Reeza,

Thank you for your response. Yes, I do.

Yelena

Re: How to simplify code and do loops?

Ksharp — Thu, 21 Apr 2016 02:28:53 GMT

You are checking Autocorrelation . Check proc autoreg :

proc autoreg data=have;
model AVG_LGD= /dw=5 dwprob; /* Lag 1 2 3 4 5*/
run;

Re: How to simplify code and do loops?

Reeza — Thu, 21 Apr 2016 02:46:23 GMT

In addition, to @Ksharp correct solution, which requires SAS/ETS, you can use proc expand to calculate lead/lag variables. See the documentation for examples.

Just as an FYI.

topic Re: How to simplify code and do loops? in Statistical Procedures

How to simplify code and do loops?

Re: How to simplify code and do loops?

Re: How to simplify code and do loops?

Re: How to simplify code and do loops?

Re: How to simplify code and do loops?