How do I create a variable that returns gaps in panel data?

[nbs98495]

I am not exactly sure how to describe this, but I have a panel dataset of loans that gives the loan age by month. Occasionally there are gaps, and I want to record in a new variable the total number of gaps. For instance, see the data below:

I would like to save, by loan_id, the different gaps in x_loan_age. So I would like to save that there is a 38 month starting in 200508 (YYYYMM variable), a 9 month gap starting in 200801, and a 15 month gap starting in 200810.

Ideally I would create variables called "GAP1", "GAP1START", "GAP2", "GAP2START", "GAP3", and "GAP3START".

The output would then be:

38, 200508, 9, 200801, 15, 200810.

There are tons of loans in this dataset, so I want to do this by each loan_id.

Basically, this is a dataset of when people didn't pay their loans and the gaps are when the person actually paid. I am trying to discern when they were paying among these missed payments. 

If this can't be handled by sas, alternatively I would just like to count the cumulative "gap" space. So for the above loan, returning a variable called "GAPS" that = 38+9+15. 

Attached is a SAS dataset of the data I pasted. Thanks!

[ChrisHemedinger]

Is this true timeseries data and do you have SAS/ETS (for PROC TIMESERIES)? See this article from @gsvolba for some ideas and a SAS macro that may help.

[mkeintz · Accepted solution]

In the absence of proc timeseries, here is a two-data-step solution:

data gaps (keep=loan_id yyyymm gap ngaps_this_loan);
  set have (keep=loan_id ) end=end_of_have;
  by loan_id;
  merge have have (firstobs=2 keep=x_loan_age rename=(x_loan_age=nxt_age));

  if first.loan_id then ngaps_this_loan=0;  /*N of gaps for this loan */
  gap=nxt_age-x_loan_age;
  if last.loan_id=0 and gap^=1;
  ngaps_this_loan+1;

  retain max_ngap;  /*Track the maximum number of gaps */
  max_ngap=max(max_ngap,ngaps_this_loan);
  if dif(max_ngap) then call symput('max_ngap',cats(max_ngap));
run;

data want (keep=loan_id gapstart: gapsize:);
  do g=1 by 1 until (last.loan_id);
    set gaps;
    by loan_id;
    array gapstart{&max_ngap};
    array gapsize{&max_ngap};
    gapstart{g}=yyyymm;
    gapsize{g}=gap;
  end;
run;

[nbs98495]

This worked for me! Thank you! I will check out the PROC TIMESERIES too.