Dear SAS Community:
I have panel data by firmid and date (quarters). I have in addition ni(net income) variable, return (ret) variable, cnt_ni which is the maximum number of quarters for each firm, and a simple count variable which counts the beginning and end of the quarters for each firm.
I would like to do a loop (rolling regression). Basically I am trying to set the minimum number of firm-quarter observations to 8. So if for firmid count is between 1 and 8 we have 1 regression, between 2 and 9 another one and so on. I know we have to use proc append but not sure how to do the rolling regression macro code.
PROC REG
DATA=test
OUTEST=result RSQUARE NOPRINT;
MODEL ret = ni;
BY gvkey;
quit;
PROC APPEND BASE = result1 DATA = result;
data WORK.TEST;
infile datalines dsd truncover;
input firmid:$6. date:DATE9. ni:32. ret:32. cnt_ni:32. count:32.;
format DATADATE DATE9.;
datalines4;
001000,31MAR1974,0.0665995976,0.5326963611,4,1
001000,31MAR1975,0.0415868673,0.1372751617,4,2
001000,31MAR1976,0.0790957374,0.3245687106,4,3
001000,31MAR1977,0.0443647682,0.1569266899,4,4
001001,31MAR1984,0.0099350549,-0.089042546,2,1
001001,31MAR1985,0.0218236173,0.3089041323,2,2
001003,31MAR1984,0.004827574,0.0144893592,1,1
001010,31MAR1974,0.0198241995,-0.072868616,7,1
001010,31MAR1975,0.0338809379,0.0169092395,7,2
001010,31MAR1977,0.026357479,0.0577793999,7,3
001010,31MAR1978,0.0247460739,-0.074640094,7,4
001010,31MAR1979,0.042475451,-0.02726128,7,5
001010,31MAR1980,0.0531934616,0.008752185,7,6
001010,31MAR1982,0.0361521597,-0.073388263,7,7
001011,31MAR1984,0.0125562663,-0.307994198,9,1
001011,31MAR1985,0.0331084121,0.7183596413,9,2
001011,31MAR1986,0.0072887533,0.1274002613,9,3
001011,31MAR1987,0.0065975754,-0.214663501,9,4
001011,31MAR1988,0.2380685444,0.1659101009,9,5
001011,31MAR1989,-0.006062443,-0.086984159,9,6
001011,31MAR1990,-0.06339814,-0.250317093,9,7
001011,31MAR1993,-0.023737663,0.1708571778,9,8
001011,31MAR1994,-0.0101768,0.2146591016,9,9
001019,31MAR1982,0.0719112584,0.1901397356,6,1
001019,31MAR1983,0.0580145036,0.0313360768,6,2
001019,31MAR1984,0.0227621841,-0.047551785,6,3
001019,31MAR1985,0.0216225277,-0.101864693,6,4
001019,31MAR1986,0.0221338945,0.3334400777,6,5
001019,31MAR1987,0.0149797088,-0.161109305,6,6
001020,31MAR1974,-0.019803546,-0.011904327,12,1
001020,31MAR1975,-1.283211783,1.2926711476,12,2
001020,31MAR1977,-0.163340051,0.4879558908,12,3
001020,31MAR1979,0.0279549159,-0.109228714,12,4
001020,31MAR1980,0.0512278481,-0.215027076,12,5
001020,31MAR1981,0.075783766,0.7372587782,12,6
001020,31MAR1982,0.0301958173,-0.209269385,12,7
001020,31MAR1983,0.0175104874,0.0091419375,12,8
001020,31MAR1984,0.0198688474,-0.059921752,12,9
001020,31MAR1985,0.0225972966,0.0531489587,12,10
001020,31MAR1986,0.0244611816,0.1818212542,12,11
001020,31MAR1987,0.0186582875,0.0567705826,12,12
001023,31MAR1984,0.0117067682,-0.253660282,4,1
001023,31MAR1985,0.0283010719,-0.129046683,4,2
001023,31MAR1986,0.0129968279,-0.143067865,4,3
001023,31MAR1987,0.019586406,0.0469880491,4,4
001034,31MAR1985,0.0351605193,0.2875440121,21,1
001034,31MAR1986,0.0149382745,0.0897110788,21,2
001034,31MAR1987,0.0139458584,-0.26166755,21,3
001034,31MAR1988,0.0240439697,0.4371398585,21,4
001034,31MAR1989,0.0181328461,-0.084153038,21,5
001034,31MAR1990,0.0171208385,0.2465843625,21,6
001034,31MAR1992,0.0085500295,-0.046869677,21,7
001034,31MAR1993,0.0070436275,-0.114086174,21,8
001034,31MAR1994,0.0117716089,0.190497974,21,9
001034,31MAR1995,0.0089751417,0.0385512522,21,10
001034,31MAR1996,0.0084407365,-0.158741892,21,11
001034,31MAR1997,0.0070999272,-0.061132038,21,12
001034,31MAR1998,0.0098002532,-0.118179653,21,13
001034,31MAR1999,0.0078055079,0.0693491002,21,14
001034,31MAR2000,0.0128585583,0.1459849388,21,15
001034,31MAR2001,0.0134930543,-0.14974307,21,16
001034,31MAR2002,-0.027024143,-0.463447952,21,17
001034,31MAR2003,0.0126373009,0.5558097004,21,18
001034,31MAR2004,-0.003004159,-0.048507768,21,19
001034,31MAR2005,-0.013081663,-0.254203545,21,20
001034,31MAR2006,0.004660247,-0.108773113,21,21
001036,31MAR1984,0.0041725127,-0.18442912,9,1
001036,31MAR1986,-0.007745477,0.110762778,9,2
001036,31MAR1987,-0.029669298,0.0181943333,9,3
001036,31MAR1989,0.0096336525,0.0368024609,9,4
001036,31MAR1990,0.0084882237,-0.077870296,9,5
001036,31MAR1991,0.0907357119,0.2283483425,9,6
001036,31MAR1993,0.0050308517,0.498389129,9,7
001036,31MAR1995,0.0123285376,-0.103926165,9,8
001036,31MAR2000,0.0093035563,-0.128989395,9,9
001039,31MAR1974,0.1233660877,0.2256237273,5,1
001039,31MAR1975,0.0949533645,0.0910929667,5,2
001039,31MAR1976,0.0865539122,0.2119969366,5,3
001039,31MAR1977,0.0682695646,0.0564982844,5,4
001039,31MAR1978,0.0754513676,0.3961006657,5,5
001040,31MAR1982,0.0165751704,-0.277851534,3,1
001040,31MAR1983,-0.007920031,-0.08916232,3,2
001040,31MAR1984,-0.00375779,-0.090439538,3,3
001045,31MAR1974,-0.042732408,0.2775407958,35,1
001045,31MAR1976,-0.034897253,-0.040294874,35,2
001045,31MAR1978,-0.022929931,-0.000830084,35,3
001045,31MAR1979,-0.017954165,-0.157874064,35,4
001045,31MAR1980,-0.21480862,-0.069184531,35,5
001045,31MAR1981,0.0124553782,0.6150094541,35,6
001045,31MAR1982,-0.131528383,0.3596825872,35,7
001045,31MAR1983,-0.030482316,-0.049490765,35,8
001045,31MAR1984,0.0345199593,-0.000258757,35,9
001045,31MAR1985,0.0344014037,0.0573054094,35,10
001045,31MAR1986,0.0056953951,0.2147262011,35,11
001045,31MAR1987,0.0063216044,-0.195480012,35,12
001045,31MAR1988,0.0329914569,0.1373763559,35,13
001045,31MAR1989,0.0320314606,0.0372866456,35,14
001045,31MAR1990,-0.005349817,0.1515149583,35,15
001045,31MAR1991,-0.064902261,0.0398757932,35,16
001045,31MAR1992,0.0016687526,0.0587493906,35,17
001045,31MAR1993,-0.004322625,-0.077880096,35,18
001045,31MAR1994,-0.001378333,-0.113313083,35,19
001045,31MAR1996,0.0276764151,0.142853597,35,20
001045,31MAR1999,0.0017744903,-0.047608184,35,21
001045,31MAR2000,0.0089605599,0.0058441005,35,22
001045,31MAR2001,-0.007216014,0.0253946289,35,23
001045,31MAR2002,-0.166907812,0.1811353839,35,24
001045,31MAR2003,-1.012437155,-0.663134262,35,25
001045,31MAR2004,-0.080325681,-0.037442629,35,26
001045,31MAR2005,-0.091802481,0.0013851271,35,27
001045,31MAR2006,-0.022648203,0.1530692954,35,28
001045,31MAR2007,0.0120574623,-0.008761835,35,29
001045,31MAR2009,-0.12599173,-0.663685585,35,30
001045,31MAR2010,-0.196407606,0.1181472525,35,31
001045,31MAR2011,-0.167848827,-0.216864556,35,32
001045,31MAR2014,0.0728156196,0.4221753747,35,33
001045,31MAR2015,0.0249160658,-0.028671836,35,34
001045,31MAR2016,0.0264622854,-0.036169656,35,35
001047,31MAR1982,-0.049866667,-0.261407789,1,1
001050,31MAR1994,-0.000161823,0.0550892758,20,1
001050,31MAR1999,0.0066658587,0.2070812387,20,2
001050,31MAR2001,-0.031355913,0.4390704961,20,3
001050,31MAR2002,-0.006209379,0.1397301132,20,4
001050,31MAR2003,-0.038384579,-0.017744084,20,5
001050,31MAR2004,-0.025553482,0.0303087536,20,6
001050,31MAR2005,-0.018384962,-0.001645273,20,7
001050,31MAR2006,-0.012831505,0.4417373686,20,8
001050,31MAR2007,0.0111045914,0.3709199468,20,9
001050,31MAR2008,-0.003541006,-0.15064581,20,10
001050,31MAR2009,0.0169351381,0.3878466696,20,11
001050,31MAR2010,0.0029588131,-0.150581733,20,12
001050,31MAR2011,0.0147408217,-0.071419168,20,13
001050,31MAR2012,0.025383609,0.2463082036,20,14
001050,31MAR2013,0.0130850609,0.1859967891,20,15
001050,31MAR2014,0.0073097925,0.0139136615,20,16
001050,31MAR2015,0.0004850692,-0.324493189,20,17
001050,31MAR2016,0.0119006378,-0.188584229,20,18
001050,31MAR2017,0.0000797381,-0.282684776,20,19
001050,31MAR2018,0.0324961473,-0.122880434,20,20
001065,31MAR1984,-0.018073056,-0.343261574,6,1
001065,31MAR1985,-0.02896186,0.5330668184,6,2
001065,31MAR1987,-0.026678506,0.4533936167,6,3
001065,31MAR1988,-0.046241723,0.267182886,6,4
001065,31MAR1989,-0.050941708,0.0296168742,6,5
001065,31MAR1990,-0.041861192,0.0984758348,6,6
001070,31MAR1974,-0.097944719,0.2648562717,4,1
001070,31MAR1975,0.1703488006,0.08858129,4,2
001070,31MAR1978,-0.020207905,0.0265213508,4,3
001070,31MAR1979,0.0229018314,0.326417502,4,4
001072,31MAR1974,0.0358560607,0.0134560633,15,1
001072,31MAR1976,0.0572189501,0.5914491489,15,2
001072,31MAR1977,0.0319121987,0.0741357758,15,3
001072,31MAR1978,0.0464532719,0.592061817,15,4
001072,31MAR1979,0.0379014988,0.2013772034,15,5
001072,31MAR1980,0.0229654742,-0.086899171,15,6
001072,31MAR1981,0.0081669043,0.1382939483,15,7
001072,31MAR1982,0.0090680667,0.4655018476,15,8
001072,31MAR1983,0.0055468992,0.0943214783,15,9
001072,31MAR1984,0.0160037758,-0.194515725,15,10
001072,31MAR1985,0.0010802282,-0.073402458,15,11
001072,31MAR1986,-0.01514784,-0.123708826,15,12
001072,31MAR1987,0.0249411765,0.3366279342,15,13
001072,31MAR1988,0.0288282272,-0.014838289,15,14
001072,31MAR1989,0.0284148696,-0.050330071,15,15
001073,31MAR1982,-0.00510949,0.6007029872,12,1
001073,31MAR1983,-0.002056226,0.5226942184,12,2
001073,31MAR1984,0.0021847394,0.3129916636,12,3
001073,31MAR1985,0.0044070523,0.1999522772,12,4
001073,31MAR1986,0.0088888889,0.1374106584,12,5
001073,31MAR1988,-0.119848277,-0.082223209,12,6
001073,31MAR1989,-0.207667284,3.6165993552,12,7
001073,31MAR1990,-0.128449188,0.4031268681,12,8
001073,31MAR1991,-1.334716869,0.0416287429,12,9
001073,31MAR1993,0.0085865794,-0.155137616,12,10
001073,31MAR1994,-0.011697128,-0.417767521,12,11
001073,31MAR1995,-0.105228789,-0.038769453,12,12
001074,31MAR1974,0.0432469935,0.3223594277,6,1
001074,31MAR1975,-0.013904705,-0.013137406,6,2
001074,31MAR1976,0.0049343554,-0.097210658,6,3
001074,31MAR1979,0.0197610331,0.2109592967,6,4
001074,31MAR1980,0.077294686,0.1365351694,6,5
001074,31MAR1981,0.0419024073,-0.072879051,6,6
001075,31MAR1974,0.0262135172,0.0406609417,36,1
001075,31MAR1975,0.0528055556,-0.065632525,36,2
001075,31MAR1977,0.0347447983,0.0419719849,36,3
001075,31MAR1978,0.0341130432,0.0103854887,36,4
001075,31MAR1979,0.025870303,-0.061764528,36,5
001075,31MAR1980,0.0364321126,-0.037523162,36,6
001075,31MAR1981,0.0308702131,-0.056056403,36,7
001075,31MAR1982,0.0396651818,0.1845629591,36,8
001075,31MAR1983,0.033316129,-0.093508249,36,9
001075,31MAR1984,0.0397083037,-0.002078712,36,10
001075,31MAR1985,0.0382540757,-0.028722367,36,11
001075,31MAR1986,0.029077038,-0.011650098,36,12
001075,31MAR1989,0.0359154347,-0.135368628,36,13
001075,31MAR1990,0.0217100977,0.3157038948,36,14
001075,31MAR1991,0.0154743131,-0.075898544,36,15
001075,31MAR1992,0.0106409666,0.0258529721,36,16
001075,31MAR1993,0.0199124316,0.0153694429,36,17
001075,31MAR1994,0.0148912741,-0.062121371,36,18
;;;;
