Hi,
I have a dataset called security
dates security index
04/04/2012 A 1.12
04/05/2012 A 1.13
04/06/2012 A 1.14
04/09/2012 A 1.15
04/05/2012 B 1
04/09/2012 B 1.04
Hello, I am looking to fill in the missing data for the above table for example, for each security I would look at what the min and the max date is and fill it with all bus dates in the middle and if there is any missing date I would fill it with the previous available data so for example the above set would look like
dates security index
04/04/2012 A 1.12
04/05/2012 A 1.13
04/06/2012 A 1.14
04/09/2012 A 1.15
04/05/2012 B 1
04/06/2012 B 1
04/09/2012 B 1.04
I would not add the 04/04/2012 for B. I am not really sure what syntax I should be using for this any help is appreciated thanks!
Some call this LOCF in PROC EXPAND it is call step interpolation. You will need to define BUS day. I used Mon-Fri. but you may want to account for holidays SAS has some tools to help with that.
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