The sas code presented below tries to set up for a fixed 12-month estimation ‘window’ that increments forward one month
for each iteration of the loop until it reaches the end of a full sample period. The program has to construct windows for every mutual fund identified by crsp_fundno variable. To simplify the program my data set test_persistance1 containing four variables (crsp_fundno , datem, mret, and rmex), sorted by crsp_fundno and datem. My date variable is saved as a numeric variable ( its format is best.12).
The code works but unfortunately does not give me the desired result. I attached two screenshots to better explain the problem.
Thank you for helping.
DATA Test_win / view=Test_win ;
array _X {12} _temporary_ ;
array _Y {12} _temporary_ ;
set test_persistance1;
by crsp_fundno ;
retain N 0;
N = ifn(first.crsp_fundno,1,N+1);
I=mod(N-1,12)+1;
_X{I}=rmex;
_Y{I}=mret;
if N>=12 then do I= 1 to 12;
rmex=_X{I};
mret=_Y{I};
output;
end;
run;
proc reg data=Test_win noprint outest=results;
by crsp_fundno datem;
model mret=rmex;
quit;
