first order autocorrelation

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Occasional Contributor
Posts: 15

first order autocorrelation

Hi,

I am trying to find the first order autocorrelation of monthly returns for each mainstrategy. This autocorrelation should be calculated based on a 5 year rolling window. I need some help with the approprate code. I have tried others but didnt work.

so I have a data set as such

Date       Return     AUM    mainstrategy

199512   -0.0055   26.9     Relative value

199601    0.0048   27.1      Relative value

199602    0.0089   30.7      CTA

Thank you

Occasional Contributor
Posts: 15

Re: first order autocorrelation

I need help with the apropriate code. I have tried others but it didnt wok. Kindly provide the help you can

Thank you

Super User
Posts: 19,815

Re: first order autocorrelation

Please post sample data and what you've tried. Also, do you have SAS/ETS licensed? If so, look into proc expand - the documentation has a good example of transformations. 

Super User
Posts: 10,028

Re: first order autocorrelation

Check this :

https://communities.sas.com/t5/SAS-IML-Software-and-Matrix/Moving-window-for-AR-1/m-p/245165#U245165

 

I suggested you post it at IML forum

SAS/IML Software and Matrix Computations

It is easy to be done in IML, or you can resort to SAS/ETS if you have it .

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