Hi,
I have some issues to compute some Cumulative Sum. I have a dataset organized with some variables, and I have grouped all the different results according to three different variables (in the following order): PERMNO, EVTDATE, DATE.
I need to compute the Cumulative Sum for another variable of interest. i was thinking to use an if first. to do all my computations, setting it equal to the variable itself for the first value and then cumulate it.
Still, this does not function.
May I ask someone to help me with this, or if any suggestion?
Thanks
First thing is that if it is FIRST.PERMNO it is by definition also FIRST.EVTDATE because you have nested EVTDATE inside PERMNO. So your test for a new group is just going to be:
if first.evtdate then car = abret;
Make sure that CAR is not already on the input dataset. If it is then the SET statement will overwrite any value carried forward by the retaining the variable.
You could use a different variable name for your new variable. Or use the DROP= dataset option to remove the existing variable CAR. Or use RENAME= to change its name to something else.
So try something like this:
data dataset_car;
set dataset_abret(drop=car);
by permno evtdate date;
car+abret;
if first.evtdate then car = abret;
run;
Thanks, I here paste the Code.
"data dataset_car;
set dataset_abret;
by permno evtdate date;
retain car;
if first.permno or (first.permno and first.evtdate) then
car = abret;
else car = car+abret;
run;"
Thing is, I have multiple evtdate and date per permno, so I need to cumulate my results based on this sequence: PERMNO,EVTDATE,DATE.
If you could help, that would be much appreciated!
The specific request was for you to provide the LOG, which includes the code plus any ERRORs, WARNINGs and NOTEs.
And we also would need to see a portion of the data, and incorrect output, if that is the problem. But really, you have not yet explained what the problem is ... explain, please.
427 *Cumulative Abnormal Returns and Gross Return per PERMNO; 428 429 data dataset_car; 430 set dataset_abret; 431 by permno evtdate date; 432 retain car; 433 if first.permno or (first.permno and first.evtdate) then 434 car = abret; 435 else car=car+abret; 436 run; NOTE: There were 171237 observations read from the data set WORK.DATASET_ABRET. NOTE: The data set WORK.DATASET_CAR has 171237 observations and 12 variables. NOTE: DATA statement used (Total process time): real time 0.03 seconds cpu time 0.04 seconds
Permno EVTDate Date Abret Cumulative Abret 10051 24JUL2020 23JUL2020 -0.001997522 -0.001997522 10051 24JUL2020 24JUL2020 -0.008036756 -0.010034278 10051 24JUL2020 27JUL2020 -0.010701593 -0.020735871 [....] here is all the data up to the end of the time window around the Evtd Date 10051 24JUL2020 04SEP2020 -0.016240639 0.0344095798 10051 27JUL2020 23JUL2020 -0.001997522 0.032412058 10051 27JUL2020 24JUL2020 -0.008036756 0.0243753022 [...] same here, I have deleted all the intermediate results up to the end of the 2nd event date. 10051 27JUL2020 08SEP2020 -0.008131352 0.0606878076 10051 31JUL2020 23JUL2020 -0.001997522 0.0586902858
First thing is that if it is FIRST.PERMNO it is by definition also FIRST.EVTDATE because you have nested EVTDATE inside PERMNO. So your test for a new group is just going to be:
if first.evtdate then car = abret;
Make sure that CAR is not already on the input dataset. If it is then the SET statement will overwrite any value carried forward by the retaining the variable.
You could use a different variable name for your new variable. Or use the DROP= dataset option to remove the existing variable CAR. Or use RENAME= to change its name to something else.
So try something like this:
data dataset_car;
set dataset_abret(drop=car);
by permno evtdate date;
car+abret;
if first.evtdate then car = abret;
run;
Only use first.date. A change in a variable to the left of date in the BY (higher up in the hierarchy) will also cause a change for date, even when that value is the same.
data dataset_car;
set dataset_abret;
by permno evtdate date;
if first.date
then car = abret;
else car + abret;
run;
The SUM Statement will cause an automatic RETAIN.
"Does not function" is awful vague.
Are there errors in the log?: Post the code and log in a code box opened with the "</>" to maintain formatting of error messages.
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