Looping with SAS IML

[sykim]

I am running a program that involves looping around some proc iml commands. The index variable I use is country code ('code'). The code is looking like this:

%MACRO Aggregate1;

%DO i= 1 %TO 46;

data Vart&i;
set Var1;
if code=&i;
run;

proc varmax data=Vart&i outest=est&i noprint;
model return TS / p=1
print=(estimates diagnose);
output out=VARR&i;
run;

data estt&i (drop = const);
set est&i;
if type="EST" then output;
run;

proc iml;
use estt&i;
read all var _num_ into Gamma&i[colname=varNames];
rho=0.99573468;
        lambda&i=rho*Gamma&i*(inv(I(2)-rho*Gamma));
        e1={1, 0};
        c&i=t(e1)+t(e1)*(lambda&i);           
        ec&i=(t(e1)+t(e1)*lambda&i)*(Gamma&i);
        d&i=t(e1)*(lambda&i);        
        ed&i=t(e1)*(lambda&i)*(Gamma&i);    
        create cc&i from c&i[colname={"h1&i" "h2&i"}];
        append from c&i;
        create dd&i from d&i[colname={"h11&i" "h12&i"}];
        append from d&i;
        create ecc&i from ec&i[colname={"h21&i" "h22&i"}];
        append from ec&i;
        create edd&i from ed&i[colname={"h31&i" "h32&i"}];
        append from ed&i;
        quit;

data hi&i;
        merge Vart&i VARR&i(keep = res1 res2);
    run;

*make temp variable to merge first part of NCF and NDR *;
    data hi1&i;
        set hi&i;
        temp=1;
        if ind2 =. then delete;
    run;

    data ccc&i;
        set cc&i;
        temp=1;
    run;

    data ddd&i;
        set dd&i;
        temp=1;
    run;

    data eccc&i;
        set ecc&i;
        temp=1;
    run;

    data eddd&i;
        set edd&i;
        temp=1;
    run;

    data final&i;
        merge hi1&i ccc&i ddd&i eccc&i eddd&i;
        by temp;
    run;

    
*estimate nc_indep_nosvol and nd_indep_nosvol;
    data Final1&i;
        set Final&i;
        nc_ind_nosvol&i=h1&i*res1 + h2&i*res2;
        nd_ind_nosvol&i=h11&i*res1 + h22&i*res2 ;
        ec_ind_nosvol&i=h21&i*lag(return) + h22&i*lag(TS);
        ed_ind_nosvol&i=h31&i*lag(return) + h32&i*lag(TS);
    run;

    data Final1A&i;
    set Final1&i;
    if res1=. or res2=. then delete;
    run;


*Appending Final Data*;

proc datasets nolist;
append base=CV force data=Final1A&i;
    %END;

%mend; %Aggregate1;

The original data (VAR1) I have attached to this message. The code works for one iteration, but it doesn't work if I put it in a looping format. I get the following error message:

ERROR: (execution) Matrix has not been set to a value.

The SAS log indicates everything before the proc iml portion of the code works, so the mistake must be in the proc iml section. Is there anything wrong there?

[Ksharp]

It is hard to give you some advice if you don't give us a TEST dataset.

[sykim]

Here is the dataset I am using.

[Ksharp]

Sorry. I couldn't run PROC VARMAX .

[sykim]

HEre is the log file that I generated running the code. Clearly there is something wrong with the proc iml portion of the code. It looks like however the proc varmax is fine.

[Rick_SAS]

I don't have time to look at this right now, but your program will be greatly simplified if you get rid of the macro and use the 

BY code;

statement in PROC VARMAX.

As a general rule it is hard to debug a complex macro. A useful tip is to develop your program as open code and set 

%LET i = 1;

%LET i = 2;

%LET i = 3;

...

to manually debug each step of an iterative process.

[IanWakeling]

I haven't tried to run your code, but I think the line:

lambda&i=rho*Gamma&i*(inv(I(2)-rho*Gamma));

might be the cause of the problem.  Without the &i suffix near the end, I would expect a message about the matrix Gamma not being set.