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Proc expand & Data step: Standard deviation and Correlation

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Regular Contributor
Posts: 162

Proc expand & Data step: Standard deviation and Correlation

Good days to all,

I have a dataset (as attached) with the following variables;

gvkey = company identification code

fyear = financial year

IB_LAT = earnings

CFO_LAT = cash flows

ACCR_LAT = accruals

I wish to calculate the following variables:

SMTH1 is the standard deviation of earnings (IB_LAT) divided by the standard deviation of cash flows (CFO_LAT), where standard deviations are calculated using a minimum of three and maximum of five years of data (t-4 to t); SMTH1 is multiplied by negative one so that larger values, i.e., values closer to zero, represent smoother earnings.

SMTH2 is defined as the correlation between the cash flows (CFO_LAT) and total accruals (ACCR_LAT), correlations are calculated using a minimum of three and maximum of five years of data (t-4 to t); SMTH2 is multiplied by negative one so that larger values, i.e., values closer to one, represent smoother earnings.


I intend to use either DATA step or Proc Expand to calculate the variables. However, I have no idea how to ensure I have at least 3 years of data available to fulfill such definitions.


*t-4 to t = 5 years = lag4(x), lag3(x), lag2(x), lag1(x), x.


Is the option for "correlation" available in proc expand? I found a blog that is close to my query: 
Rolling Correlation Window [Archive] - Statistics Help @ Talk Stats Forum


By referring to proc expand user guide: SAS/ETS(R) 9.3 User's Guide, the following commands are available, I'm not sure to what extend these codes can be applied to my case:

> number

Missing value if , else x

>= number

Missing value if , else x

= number

Missing value if , else x

= number

Missing value if , else x

< number

Missing value if , else x

<= number

Missing value if , else x

 


Thank you and hope to get any help.


Regards,

mspak



Regular Contributor
Posts: 162

Re: Proc expand & Data step: Standard deviation and Correlation

Hi all,

I tried out the solution for my SMTH1 answer but yet to get the answer for SMTH2.

My SAS code to calculate SMTH1 is as follows:

PROC SORT DATA= final.test2 OUT=TEST NODUPKEY;

BY GVKEY FYEAR; RUN;

proc expand data=TEST OUT=TEST1 method=none;

   by GVKEY;

   convert IB_lat = lag1_IB / transformout = (lag 1);

   convert IB_lat = lag2_IB / transformout = (lag 2);

   convert IB_lat = lag3_IB / transformout = (lag 3);

   convert IB_lat = lag4_IB / transformout = (lag 4);

   convert cfo_lat = lag1_CFO / transformout = (lag 1);

   convert cfo_lat = lag2_CFO  / transformout = (lag 2);

   convert cfo_lat = lag3_CFO  / transformout = (lag 3);

   convert cfo_lat = lag4_CFO / transformout = (lag 4);

   run;

DATA TEST2; SET TEST1;

SD_IB = STD(IB_lat, lag1_IB, lag2_IB, lag3_IB, lag4_IB);

iF MISSING (IB_lat) THEN miss_ib = 1; else miss_ib = 0;

iF MISSING (lag1_IB) THEN miss_lag1_IB = 1; else miss_lag1_IB = 0;

iF MISSING (lag2_IB) THEN miss_lag2_IB = 1; else miss_lag2_IB = 0;

iF MISSING (lag3_IB) THEN miss_lag3_IB = 1; else miss_lag3_IB = 0;

iF MISSING (lag4_IB) THEN miss_lag4_IB = 1; else miss_lag4_IB = 0;

totalmissIB = SUM(miss_ib, miss_lag1_IB, miss_lag2_IB , miss_lag3_IB, miss_lag4_IB);

IF totalmissIB > 2 THEN SD_IB = .;

SD_CFO = STD(cfo_lat, lag1_CFO, lag2_CFO, lag3_CFO, lag4_CFO);

iF MISSING (CFO_lat) THEN miss_ib = 1; else miss_ib = 0;

iF MISSING (lag1_CFO) THEN miss_lag1_CFO = 1; else miss_lag1_CFO = 0;

iF MISSING (lag2_CFO) THEN miss_lag2_CFO = 1; else miss_lag2_CFO = 0;

iF MISSING (lag3_CFO) THEN miss_lag3_CFO = 1; else miss_lag3_CFO = 0;

iF MISSING (lag4_CFO) THEN miss_lag4_CFO = 1; else miss_lag4_CFO = 0;

totalmissCFO = SUM(miss_ib, miss_lag1_CFO, miss_lag2_CFO , miss_lag3_CFO, miss_lag4_CFO);

IF totalmissCFO > 2 THEN SD_CFO = . ;

SMTH1 = -SD_IB/SD_CFO;

RUN;

Hope this can provide some insight to the solution of smth2.

Thank you.

Regards,

mspak

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