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
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.
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;
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;
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