BookmarkSubscribeRSS Feed
🔒 This topic is solved and locked. Need further help from the community? Please sign in and ask a new question.
kashili
Calcite | Level 5

I have a file with 100 coloumns(each column is stock data for 5 years). I have to run OLS between every 2 stocks(proc reg with model statement), so output is going to be coefficients for 4950 (100*99/2) pair of stocks.

I can put proc reg in macro, but I have to call it 4950 times..or I can use matlab (with for loops) to make it less tedious.

Is there a better solution of doing this in SAS (besides macros). thank you

1 ACCEPTED SOLUTION

Accepted Solutions
Reeza
Super User

Two ways of looping in SAS - BY statements or macro.

You could modify the dataset so that you only have two variables and using a by statement, but a macro seems simpler.

Or you can use Matlab or Octave with your for loops.

View solution in original post

2 REPLIES 2
PGStats
Opal | Level 21

I am no economist or financial expert but the following simulation should warn you of a potential problem when looking for linear relationships between autocorrelated time series :

/* Generate 100 simulated daily price series */
data test;
format date yymmdd10. price 7.2;
call streaminit(658487);
do stock = 1 to 100;
     price = 50 + 100 * rand('UNIFORM');
     do date = '01jan2000'd to '31dec2004'd;
          price = price * (1 + rand("NORMAL", 0.0, 0.01));
          output;
          end;
     end;
run;

proc sort data=test; by date stock; run;

/* Make each simulated stock series into a table column */
proc transpose data=test out=table prefix=stock_;
by date;
id stock;
var price;
run;

/* Plot the first three series */
title "Three simulated price series";
ods graphics / antialiasmax=2000;
proc sgplot data=table;
series x=date y=stock_1 /lineattrs=(pattern=1);
series x=date y=stock_2 /lineattrs=(pattern=1);
series x=date y=stock_3 /lineattrs=(pattern=1);
xaxis type=time tickvalueformat=yymmdd10.;
yaxis label="Price";
run;

/* Find the 5 best correlations for each series */
ods listing select none;
proc corr data=table best=5 Pearson;
var stock_:;
ods output PearsonCorr=PC;
run;
ods listing select all;

options linesize=132;
title "Best correlated price series";
proc print data=PC(drop=best1 R1 P1) noobs; run;

You will notice that far too many relations appear as highly significant among these totally unrelated time series. Looking at the plot should give you a feeling why this happens.

SGPlot6.png

PG

PG
Reeza
Super User

Two ways of looping in SAS - BY statements or macro.

You could modify the dataset so that you only have two variables and using a by statement, but a macro seems simpler.

Or you can use Matlab or Octave with your for loops.

sas-innovate-2024.png

Join us for SAS Innovate April 16-19 at the Aria in Las Vegas. Bring the team and save big with our group pricing for a limited time only.

Pre-conference courses and tutorials are filling up fast and are always a sellout. Register today to reserve your seat.

 

Register now!

How to Concatenate Values

Learn how use the CAT functions in SAS to join values from multiple variables into a single value.

Find more tutorials on the SAS Users YouTube channel.

Click image to register for webinarClick image to register for webinar

Classroom Training Available!

Select SAS Training centers are offering in-person courses. View upcoming courses for:

View all other training opportunities.

Discussion stats
  • 2 replies
  • 681 views
  • 3 likes
  • 3 in conversation