Creating 5 lags of about 100 variables

[VKG]

I have about 100 variables that I would like to create lags for. Is there a quick way of creating lags for 5 time periods?

Thanks for your help.

VKG

[Reeza]

Can you post some sample data and your expected output?

Sadly there isn't an easy way 😞

[VKG]

Reeza, I just posted at the bottom.
Regards,
VKG>

[data_null__]

Are you laging the observations for 100 variable or the values variables x1-x100?  Example data is always useful and example ouput.

[VKG]

Hello, please see the data set below.
Regards,
VKG

[ballardw]

What are you going to do with the results? I find that building an extra 500 variables (100 * 5 lag periods each) might well become difficult to code to use in short order.

[VKG]

Hello, I am creating 500 variables for some model building.
Regards,
Vaneeta.

[Steelers_In_DC]

This is what you are asking for but I find it hard to believe this is the best solution.  Something with array, hash or transpose will probably work.  Please provide an example of what you have and what you are looking for:

data have;
input var1 var2 var3 var4 var5;
cards;
1 1 1 1 1
2 2 2 2 2
3 3 3 3 3
4 4 4 4 4
5 5 5 5 5
;run;

data want;
set have;
%macro lag;
%do i = 1 %to 5;
var&i.lag&i = lag&i(var&i);
%end;
%mend;
%lag;
run;

[Ksharp]

You want lag1-lag5 for each and every variables ?

Sorry. I make a mistake . John King(data _null_)'s code could be better.

Or if you want IML code ?

data have;
input var1 var2 var3 var4 var5;
cards;
1 1 1 1 1
2 2 2 2 2
3 3 3 3 3
4 4 4 4 4
5 5 5 5 5
;run;
data lag1;
if _n_ eq 1 then output;
 else output;
 set have(rename=(var1-var5=var_lag1_1-var_lag1_5));
run;
data lag2;
if _n_ eq 1 then do;
 output;
 output;
end;
 else output;
 set have(rename=(var1-var5=var_lag2_1-var_lag2_5));
run;
data lag3;
if _n_ eq 1 then do;
 output;
 output;
 output;
end;
 else output;
 set have(rename=(var1-var5=var_lag3_1-var_lag3_5));
run;
data lag4;
if _n_ eq 1 then do;
 output;
 output;
 output;
 output;
end;
 else output;
 set have(rename=(var1-var5=var_lag4_1-var_lag4_5));
run;
data lag5;
if _n_ eq 1 then do;
 output;
 output;
 output;
 output;
 output;
end;
 else output;
 set have(rename=(var1-var5=var_lag5_1-var_lag5_5));
run;
data want;
 merge have(in=ina) lag1-lag5;
 if ina;
run;

[Babloo]

May I request you to tell me why you've used output statement before the set statement while you create the datasets lag1-lag5? How it is helpful?

[Ksharp]

Make a lag value (missing value) for all the variables ? Aren't they what you want ?

[VKG]

Yes, but to do that for 100 variables and 5 times - I was looking for a quicker way to do it

[data_null__]

---

@Ksharp wrote:

You want lag1-lag5 for each and every variables ?

That doesn't look right when I run it. I think it is this.

data have;
   input var1-var5;
   cards;
1 1 1 1 1
2 2 2 2 2
3 3 3 3 3
4 4 4 4 4
5 5 5 5 5
6 6 6 6 6
7 7 7 7 7
8 8 8 8 8
;;;;
   run;
proc print;
   run;

data Fivelags;
   set have end=eof;
   if _n_ gt 1 then set have(rename=(var1-var5=lag1_1-lag1_5));
   if _n_ gt 2 then set have(rename=(var1-var5=lag2_1-lag2_5));
   if _n_ gt 3 then set have(rename=(var1-var5=lag3_1-lag3_5));
   if _n_ gt 4 then set have(rename=(var1-var5=lag4_1-lag4_5));
   if _n_ gt 5 then set have(rename=(var1-var5=lag5_1-lag5_5));
   run;
Proc print width=min;
   run;

[VKG]

Here is the example of what I am trying to do, assuming i have 5 variables X1 - X5:

X1	X2	X3	X4	X5
1	11	21	31	41
2	12	22	32	42
3	13	23	33	43
4	14	24	34	44
5	15	25	35	45
6	16	26	36	46
7	17	27	37	47
8	18	28	38	48
9	19	29	39	49

I would like to create a lag for each one of them for 5 time periods resulting i the following data set:

X1	X2	X3	X4	X5	X1_1	X2_1	X3_1	X4_1	X5_1	X1_2	X2_2	X3_2	X4_2	X5_2	X1_3	X2_3	X3_3	X4_3	X5_3	X1_4	X2_4	X3_4	X4_4	X5_4	X1_5	X2_5	X3_5	X4_5	X5_5
1	11	21	31	41
2	12	22	32	42	1	11	21	31	41
3	13	23	33	43	2	12	22	32	42	1	11	21	31	41
4	14	24	34	44	3	13	23	33	43	2	12	22	32	42	1	11	21	31	41
5	15	25	35	45	4	14	24	34	44	3	13	23	33	43	2	12	22	32	42	1	11	21	31	41
6	16	26	36	46	5	15	25	35	45	4	14	24	34	44	3	13	23	33	43	2	12	22	32	42	1	11	21	31	41
7	17	27	37	47	6	16	26	36	46	5	15	25	35	45	4	14	24	34	44	3	13	23	33	43	2	12	22	32	42
8	18	28	38	48	7	17	27	37	47	6	16	26	36	46	5	15	25	35	45	4	14	24	34	44	3	13	23	33	43
9	19	29	39	49	8	18	28	38	48	7	17	27	37	47	6	16	26	36	46	5	15	25	35	45	4	14	24	34	44

Any help programming this would be appreciated vs using lag for each of the 100 variables 5 times.

Regards,

Vaneeta.

[Steelers_In_DC]

The macro that I've provided does just that, just change the 5 to 100.