topic Re: how to compute returns if the panel data has continuous observations in Statistical Procedures

how to compute returns if the panel data has continuous observations

factorhedge — Sat, 23 Mar 2013 07:15:47 GMT

Hi I have a panel data of daily share prices , my distribution looks like below . I have 1000 companies daily share price data from 1/1 to 12/31 of every month for each company . I need to compute daily log returns of the share prices but since the companies are continuous the 1st day of company B will take the last day of company A into return calculation. Could someone help me on the SAS code to compute daily returns .

Company	Company Code	Date	Daily share price
A		1/1/2000
A		1/2/2000
A		12/31/2000
B		1/1/2000
B		12/31/2000

Re: how to compute returns if the panel data has continuous observations

1zmm — Sat, 23 Mar 2013 20:32:35 GMT

Sort your data by company and date. Then use the SAS-created variables, FIRST.COMPANY and LAST.COMPANY, to define the range of observations that you want to calculate your statistics on daily log returns:

==================================================================================================

proc sort data=old;

by company date;

run;

data new;

set old;
by company date;

if (first.company eq 1) then do;

<<code to calculate statistics for first date within a company>>

end;

if ((first.company eq 0) and

(last.company eq 0)) then do;

<< code to calculate statistics for the second through next-to-last dates within a company>>

end;

if (last.company eq 1) then do;

<<code to calculate statistics for the last date within a company>>

end;

output new;

run;

=====================================================================================

Within the DATA step, you may need to include a RETAIN statement to hold variable values across observations.

Re: how to compute returns if the panel data has continuous observations

ets_kps — Mon, 25 Mar 2013 18:45:36 GMT

There is an alternative way to do this that doesn't involve using all this first., last. syntax. Using PROC TIMEDATA, you can directly reference the time series within BY groups. I feel the syntax is much more intuitive.

Here is full sample in action.

data greene;
   input firm year production cost @@;
date = mdy(1,1,year);
datalines;
1 1955   5.36598   1.14867 1 1960   6.03787   1.45185
1 1965   6.37673   1.52257 1 1970   6.93245   1.76627
2 1955   6.54535   1.35041 2 1960   6.69827   1.71109
2 1965   7.40245   2.09519 2 1970   7.82644   2.39480
3 1955   8.07153   2.94628 3 1960   8.47679   3.25967
3 1965   8.66923   3.47952 3 1970   9.13508   3.71795
4 1955   8.64259   3.56187 4 1960   8.93748   3.93400
4 1965   9.23073   4.11161 4 1970   9.52530   4.35523
5 1955   8.69951   3.50116 5 1960   9.01457   3.68998
5 1965   9.04594   3.76410 5 1970   9.21074   4.05573
6 1955   9.37552   4.29114 6 1960   9.65188   4.59356
6 1965 10.21163   4.93361 6 1970 10.34039   5.25520
;

proc sort data=greene out=greene; by firm year; run;

proc timedata data=greene out=differenced;
by firm;
id date interval=year ;
var cost /dif=(5);
var production /diff=5;
run;

Yours might look like;

PROC TIMEDATA data=returns out=returns2;
by company;

id Date interval=day;

var price /diff=(1);

run;

There are also ways to do this in PROC PANEL

Re: how to compute returns if the panel data has continuous observations

factorhedge — Tue, 26 Mar 2013 07:26:54 GMT

thanks a ton 1zmm .

Re: how to compute returns if the panel data has continuous observations

factorhedge — Tue, 26 Mar 2013 07:27:17 GMT

thank you very much