A bit of a blast from the past, but one of the first results when searching for 'rolling regression' is this post:
You asked a very similar question a few years ago 🙂
https://communities.sas.com/t5/SAS-Procedures/macro-for-a-rolling-window-regression/m-p/177594
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Learn the difference between classical and Bayesian statistical approaches and see a few PROC examples to perform Bayesian analysis in this video.
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