topic Re: Divide data into intervals and run regression for each interval in Statistical Procedures

Divide data into intervals and run regression for each interval

Helli — Mon, 18 Jul 2016 17:26:23 GMT

Hello,

I have to divide transaction data into ten minute intervals and then run a regression for the data of each interval. So for each time t, for example 18JUN2016, I have the respective transaction volume and price change. I was trying the following:

proc timeseries
data=datasets.&symbol.
   out=datasets.&symbol._10min;
   id time interval=MINUTE10.
   accumulate=NONE;

run;

Which didn't lead to a result. I wanted to, firstly, "cut off" the data for the first 10min interval to later run a regression.

I'm grateful for every hint!

Re: Divide data into intervals and run regression for each interval

Reeza — Mon, 18 Jul 2016 18:23:37 GMT

Assuming you have a time variable, look at the round function.

Time is represented in seconds so ten minutes is 600

roumd(var,600) will group your data into 10 minute intervals.

Re: Divide data into intervals and run regression for each interval

PGStats — Mon, 18 Jul 2016 18:41:18 GMT

18JUN2016 looks more like a SAS date than a SAS time or a SAS datetime, but, of course, it could be a SAS datetime value, formatted as a date.

Assuming those times are SAS datetimes, you can assign them to the center of 10 minute bins with:

data myData10min;
set myData;
time10min = intnx("minute10.", time, 0, "MIDDLE");
run;