Moving Averages in SAS by Symbol

[RazzleBayker]

pHi guys,

I'm working on a project where I need to calculate a moving average (3 lags) prices (variable name "PRICE") by stock ticker symbol (valiable name "TICKER").  Can someone please give me a code that I can use to do this in SAS?

Thanks in advance.

Regards,

Razzle

[art297]

Did you look at:

[RazzleBayker]

Yeah, unfortunately it's a slightly different procedure.  My data looks like this:

identifier	year	value
A	1998	4
A	1999	3
A	2000	2
A	2001	1
A	2002	4
A	2003	6
A	2004	8
A	2005	0
A	2006	6
A	2007	4
A	2008	3
A	2009	1
A	2010	2
B	1998	3
B	1999	6
B	2000	9
B	2001	0
B	2002	7
B	2003	4

I need to calculate a moving average (3 lags; 3 years in this case) starting with the first year of each individual identifier (first column).  So basically the result for this example (above) that I'm looking for is shown in the 4th column:

identifier	year	value	3-year average
A	1998	4	.
A	1999	3	.
A	2000	2	3
A	2001	1	2
A	2002	4	2.333333333
A	2003	6	3.666666667
A	2004	8	6
A	2005	0	4.666666667
A	2006	6	4.666666667
A	2007	4	3.333333333
A	2008	3	4.333333333
A	2009	1	2.666666667
A	2010	2	2
B	1998	3	.
B	1999	6	.
B	2000	9	6
B	2001	0	5
B	2002	7	5.333333333
B	2003		3.5
B	2004	2	4.5
B	2005	7	4.5
B	2006	4	4.333333333
B	2007	9	6.666666667
B	2008	5	6
B	2009	6	6.666666667
B	2010	3	4.666666667

Is there a simple code I can use in SAS to do this?

Thanks in advance.

[Patrick]

Assuming there are no missing years and no missing values as shown in your demo data below code should do.

data have;
  input identifier:$1. year value;
  datalines;
A 1998 4
A 1999 3
A 2000 2
A 2001 1
A 2002 4
A 2003 6
A 2004 8
A 2005 0
A 2006 6
A 2007 4
A 2008 3
A 2009 1
A 2010 2
B 1998 3
B 1999 6
B 2000 9
B 2001 0
B 2002 7
B 2003 4
;
run;

data want(drop=_:);
  set have;
  by identifier;

  if first.identifier then
    _i=1;
  else _i+1;
  Year3_Avg=ifn(_i>=3,mean(value,lag(value),lag2(value)),.);
run;

[Linlin]

by sql:

data have;

input identifier $ year value;

cards;

A 1998 4

A 1999 3

A 2000 2

A 2001 1

A 2002 4

A 2003 6

A 2004 8

A 2005 0

A 2006 6

A 2007 4

A 2008 3

A 2009 1

A 2010 2

B 1998 3

B 1999 6

B 2000 9

B 2001 0

B 2002 7

B 2003 4

;

proc sql;

  create table temp

    as select a.identifier, a.year,b.value

    from have as a , have as b

     where a.identifier=b.identifier and (b.year between a.year-3 and a.year);

   create table want as

     select identifier,year,mean(value) as M_value

      from temp

    group by identifier,year;

  quit;