I would like to calculate returns using PROC EXPAND. I could use just a simple DATA step but I would like to learn more about PROC EXPAND.
My dataset has 3 columns containing stock, date, and price. I could use the following DATA step:
data stocks;
set stocks;
by stock date ;
return=price/lag(price)-1;
if first.stock then return=.;
run;
But How do I do this using PROC EXPAND? in particular, what do I put in the TRANSFORMIN and TRANSFORMOUT ?
Thanks
proc sort data=stocks;
by stock date;
run;
proc expand data=stocks out=result(drop=time);
by stock;
convert price=return / transformout=( ratio 1 -1);
run;
proc sort data=stocks;
by stock date;
run;
proc expand data=stocks out=result(drop=time);
by stock;
convert price=return / transformout=( ratio 1 -1);
run;
Thanks. just to confirm if I understand the code correctly,
transformout=( ratio 1 -1)
means getting the ratio of the current value over lag 1 and then minus 1 to get the return right? So, say if I want to get returns between now and 4 periods ago, it should be:
transformout=( ratio 4 -1)
Am I correct?
well done
SAS is headed back to Vegas for an AI and analytics experience like no other! Whether you're an executive, manager, end user or SAS partner, SAS Innovate is designed for everyone on your team.
Interested in speaking? Content from our attendees is one of the reasons that makes SAS Innovate such a special event!
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.