BookmarkSubscribeRSS Feed
jrdykstr93
Obsidian | Level 7

Hi All,

 

I have a question on restricting dates.  I have columns like so -- "Date", "Price", "Tflag".  Wherever the "Tflag" column = '***', I would like to take the range of T+2 and T-2 for date.   What i did originally was create lags(one ascending, one descending) of Date and created two new variables Date1 and Date2.  This created the correct range on each tflag = ***.  But i cannot figure out how to restrict my Date column by this range I created.  Also, it is important to note that we are dealing with Trading Days and not just standard days. I say this because if a Tflag  is on 6/25/2018 then the t-2 day would be 6/21/2018 and t+2 would be 6/27/2018.  This would encompass a total of five dates, which it always should be unless there is significant days in a row.

 

Thanks.

5 REPLIES 5
Reeza
Super User

Have you looked at INTNX with the WEEKDAY option? Though you may want to create your own calendar to account for the unique calendar.

Otherwise, a SQL self join usually works, and/or using PROC EXPAND to calculate a moving statistics with the CONVERT statement. 

 


@jrdykstr93 wrote:

Hi All,

 

I have a question on restricting dates.  I have columns like so -- "Date", "Price", "Tflag".  Wherever the "Tflag" column = '***', I would like to take the range of T+2 and T-2 for date.   What i did originally was create lags(one ascending, one descending) of Date and created two new variables Date1 and Date2.  This created the correct range on each tflag = ***.  But i cannot figure out how to restrict my Date column by this range I created.  Also, it is important to note that we are dealing with Trading Days and not just standard days. I say this because if a Tflag  is on 6/25/2018 then the t-2 day would be 6/21/2018 and t+2 would be 6/27/2018.  This would encompass a total of five dates, which it always should be unless there is significant days in a row.

 

Thanks.


 

jrdykstr93
Obsidian | Level 7

My SQL knowledge is embarrassing.  But I will look into proc expand. Thanks.l

Astounding
PROC Star

You have omitted critical information.

 

How do you want to account for holidays?  SAS can detect weekdays, but you need to somehow supply the holiday information.

 

What is the order to the observations?  Do the observations you want to select fall both before and after the observation where tflag is *** ?

jrdykstr93
Obsidian | Level 7

Its only trading days.  So holidays are excluded.  The subset of observations I would like to select fall T-2 and T+2 based on what date there is a tflag = '***'.

Astounding
PROC Star

So if T-1 is a holiday, you still want T-2 to T+2?  Not T-3 to T+2?

sas-innovate-2024.png

Join us for SAS Innovate April 16-19 at the Aria in Las Vegas. Bring the team and save big with our group pricing for a limited time only.

Pre-conference courses and tutorials are filling up fast and are always a sellout. Register today to reserve your seat.

 

Register now!

What is Bayesian Analysis?

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.

Click image to register for webinarClick image to register for webinar

Classroom Training Available!

Select SAS Training centers are offering in-person courses. View upcoming courses for:

View all other training opportunities.

Discussion stats
  • 5 replies
  • 799 views
  • 0 likes
  • 3 in conversation