topic Re: Rewrite Macro rolling regression for output in Statistical Procedures

Rewrite Macro rolling regression for output

NguyenHa — Wed, 23 Nov 2016 03:44:38 GMT

Hello all,

I am a new user of Sas but I have to try macro for rolling regression 12 months, shift one month forward. I did this one and it can run well for PROC REG with OUTEST. So I want to rewrite it for getting residual variable from OUTPUT, I tried many times and it is not working in every loop order. I did change one part like this:

proc reg data=&data;
where &date between &idate1 and &idate2;
model &model_equation;
&by_id;
output out=_outest_ds r=resid
run;

%* Add loop date range variables to output set;
data _outest_ds;
set _outest_ds;
~~regobs= _p_ + _edf_; %* number of observations in regression;~~ I delete this line because edf is from outest, but I changed it into OUTPUT and do not know how to count regressors.
date1= &idate1;
date2= &idate2;
%if &year_date=0 %then format date1 date2 date9.;
run;

THE CODE THAT I RUN FROM THE LINK BELOW and I can get the results of R-square correctly with rolling window 12 months.

http://www.lexjansen.com/nesug/nesug07/sa/sa04.pdf

I REALLY APPRECIATE YOUR HELP. I AM UNDER STRESSED NOW.

Nguyen

Re: Rewrite Macro rolling regression for output

PGStats — Wed, 23 Nov 2016 04:09:13 GMT

you are missing a semicolon after r=resid

Re: Rewrite Macro rolling regression for output

NguyenHa — Wed, 23 Nov 2016 04:15:50 GMT

Thank you, I fixed it and there is no result, 0 observations and date 1,
date 2.

The old one, I got the results not in order of loop, they are mess up, I
dont know how to fix it.

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Re: Rewrite Macro rolling regression for output

PGStats — Wed, 23 Nov 2016 04:22:21 GMT

Get the code working without any macros first. That will be a lot easier. Then transform back into macro coding.

Re: Rewrite Macro rolling regression for output

NguyenHa — Wed, 23 Nov 2016 06:05:49 GMT

Thank you, I did try it in simple form but the problem is rolling window for proc reg, I cannot create rolling loops because huge data. So I found this one and it works.

Re: Rewrite Macro rolling regression for output

Amalik — Thu, 24 Nov 2016 03:45:56 GMT

Hi,

What is the code that you used for PROC REG with OUTEST. I am struggling to run a rolling regression for my data as well. I referred to the same article that you did but I dint come up with the right code yet.

Re: Rewrite Macro rolling regression for output

NguyenHa — Thu, 24 Nov 2016 06:53:50 GMT

Hi, you can use the link that I attached below. it can works well.

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