Hello All,
I have data that, essentially, takes the following form:
Date var1 var2
x/x/xx 2 3
x/x/xx 2 2
x/x/xx 2 1
x/x/xx 3 5
x/x/xx 2 1
and so on. What I want to do is regress one variable on another for the previous y periods, and then have the regression beta be output as a variable in the dataset. For example, if I picked y = 5, I would take an observation, regress var1 on var2 for the past 5 periods, and then the code would return that regression coefficient as a variable in the dataset.
I may have done a bad job explaining this, but if you have any questions, please let me know.
Thanks,
John
Create a new table for that previous y periods , like :
%let y=5 ;
data temp;
merge have(keep=date var1) have(firstobs=&y keep=var2);
run;
after that proc reg data=have .
But That might be a bad idea. You'd post it at Foreasting Forum for seeking a Auto Regression Model .
Xia Keshan
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