03-06-2016 04:59 PM
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
03-06-2016 07:10 PM
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.
03-06-2016 08:15 PM
Check this :
I suggested you post it at IML forum
It is easy to be done in IML, or you can resort to SAS/ETS if you have it .