BookmarkSubscribeRSS Feed
🔒 This topic is solved and locked. Need further help from the community? Please sign in and ask a new question.
gergely_batho
SAS Employee

In this code there are 2 pointers on the data: the current and the 30 day-ahead. This way you can maintain a moving sum, and output when you read from the current pointer.

Probably you want to delete obs where moving_cnt is too small (<=20). No problem if a day is missing.

proc sort data=have;

by Firm Date;

run;

%let timeWindow=30;/*day*/

%let timePeriod=day;

data have_exp / view=have_exp;

  set have;

  date=intnx("&timePeriod.",Date,-&timeWindow.,'s');

run;

data want;

  set have(in=inT) have_exp ;/*interleaving original and expiry datasets*/

  by Firm Date;

  if first.Firm then do;/*initializing counters and sums at beginning of a group*/

  moving_cnt=0;

  moving_sum=.;

  moving_Ret=1;retain moving_Ret;

  end;

  if inT then do;/*if transaction, then first output than calculate*/

  output;

  moving_cnt+(-1);

  moving_sum+(-Ret);

  moving_Ret=moving_Ret/(1+Ret);

  end;

  else do;/*if expiry, then calculate*/

  moving_cnt+1;

  moving_sum+Ret;

  moving_Ret=moving_Ret*(1+Ret);

  end;

run;

mahler_ji
Obsidian | Level 7

Hello all, Thank you very much for all of your help.  I was able to get this to work, finally!

and , thank you very much, and I was able to use a combination of what you gave to me to make this work. 

By the way, I am using SAS 9.2.

@muthia, I am going to email you privately about understanding arrays, as that is something that I really need to understand better!

Thanks so much!

John

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!

What is Bayesian Analysis?

Learn the difference between classical and Bayesian statistical approaches and see a few PROC examples to perform Bayesian analysis in this video.

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
  • 16 replies
  • 3264 views
  • 0 likes
  • 7 in conversation