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Obsidian | Level 7 ZZB
Obsidian | Level 7
options nosource;
 
* Rolling Beta Regression Program Notes:
 
*  Rolling sample periods move forward one month at a time  (per loop iteration)
*  Default case uses 2 years or 24 months of daily data and the sample periods overlap.
*  The program parameters can be changed to use a different sample length.
 
 In the RRLOOP macro routine below the regression coefficients are estimated by starting with
*  a sample period of &YEAR1 to &YEAR1 + &NYEAR and progresses forward to end at &YEAR2
*  YEAR1 and YEAR2 are defined using START_YEAR and END_YEAR macro variables, and NYEAR= SAMPLE_YEAR
 
 To use end of year (December) only estimation, change MM loop to:   %do mm = 12 %to 12;
 
*  Code below also can be changed to use other regression models such as the F-F 3 factor model.
*  Change PROC REG and the DATA step before the APPEND accordingly.
 
 Output dataset includes DATE1 and DATE2 that defines each row sample period
 
* Example
   
 PERMNO      date1      date2 _DEPVAR_       alpha   beta   _RMSE_   _RSQ_  nobs
 
 10104 2002-02-01 2004-01-31  retrf   -.000284893 1.57198 0.025787 0.38637  503
       2002-03-01 2004-02-29  retrf   -.000476811 1.56050 0.025747 0.37886  503
       2002-04-01 2004-03-31  retrf   0.000030706 1.61115 0.023942 0.42828  506
       2002-05-01 2004-04-30  retrf   0.000285565 1.60345 0.023432 0.43471  505
 
 10107 2002-02-01 2004-01-31  retrf   -.000347769 1.35198 0.014412 0.59856  503
       2002-03-01 2004-02-29  retrf   -.000356315 1.34827 0.014413 0.59231  503
       2002-04-01 2004-03-31  retrf   -.000399233 1.32516 0.014328 0.58590  506
       2002-05-01 2004-04-30  retrf   -.000094302 1.30637 0.014258 0.57960  505
 
*********************************************************************************;
 
I put the following macro into my code set, but SAS does not run. I even do not know the error. the log show nothing expect these original codes. Did I miss anything? 
The dataset I used is MSF2. So I change the in_ds=MSF2, it still does not work. 
My libname is C:/DATA.
*****************************************************;
 
%macro RRLOOP (year1= 2001, year2= 2005,  nyear= 2, in_ds=temp1, out_ds=work.out_ds);
  
%local date1 date2 date1f date2f yy mm;
  
/*Extra step to be sure to start with clean, null datasets for appending*/
proc datasets nolist lib=work;
  delete all_ds oreg_ds1;
run;
  
/*Loop for years and months*/
 %do yy = &year1 %to &year2;
   %do mm = 1 %to 12;
  
 /*Set date2 for mm-yy end point and date1 as 24 months prior*/
 %let xmonths= %eval(12 * &nyear); *Sample period length in months;
 %let date2=%sysfunc(mdy(&mm,1,&yy));
 %let date2= %sysfunc (intnx(month, &date2, 0,end)); *Make the DATE2 last day of the month;
 %let date1 = %sysfunc (intnx(month, &date2, -&xmonths+1, begin)); *set DATE1 as first (begin) day;
 /*FYI --- INTNX quirk in SYSFUNC:  do not use quotes with 'month' 'end' and 'begin'*/
  
/*An extra step to be sure the loop starts with a clean (empty) dataset for combining results*/
proc datasets nolist lib=work;
  delete oreg_ds1;
run;
  
/*Regression model estimation -- creates output set with coefficient estimates*/
proc reg noprint data=&in_ds outest=oreg_ds1 edf;
  where date between &date1 and &date2;  *Restricted to DATE1- DATE2 data range in the loop;
  model retrf = vwretdrf;
  by permno;
run;
  
/*Store DATE1 and DATE2 as dataset variables
and rename regression coefficients as ALPHA and BETA;*/
data oreg_ds1;
  set oreg_ds1;
  date1=&date1;
  date2=&date2;
  rename intercept=alpha  vwretdrf=beta;
  nobs= _p_ + _edf_;
  format date1 date2 yymmdd10.;
run;
  
/*Append loop results to dataset with all date1-date2 observations*/
proc datasets lib=work;
  append base=all_ds data=oreg_ds1;
run;
  
 %end;  % /*MM month loop*/
  
 %end; % /*YY year loop*/
  
/*Save results in final dataset*/
data &out_ds;
  set all_ds;
run;
  
%mend RRLOOP;
 
**********************************;

The primary output of this program is a data set with these items:

CRSP Permanent Number=10107
date1 date2 _RMSE_  Intercept VWRETD    regobs
01JAN2002 31DEC2004 0.057470   -.005836843 0.97255 36
01FEB2002 31JAN2005 0.057446   -.004874504 0.95958 36
01MAR2002 28FEB2005 0.057358   -.004550887 0.92014 36
01APR2002 31MAR2005 0.057448   -.005048308 0.92846 36
01MAY2002 30APR2005 0.056784   -.000042066 0.81758 36
01JUN2002 31MAY2005 0.056721   0.000278585 0.80891 36
01JUL2002 30JUN2005 0.051923   -.006355348 0.99118 36
01AUG2002 31JUL2005 0.051481   -.004585000 0.91877 36
01SEP2002 31AUG2005 0.053227   -.002505193 0.89010 36
01OCT2002 30SEP2005 0.054340   -.003183394 0.84427 36
01NOV2002 31OCT2005 0.045522   -.003110266 0.52825 36
01DEC2002 30NOV2005 0.045962   -.002508023 0.50723 36
01JAN2003 31DEC2005 0.044918   0.000198639 0.35030 36
 
4 REPLIES 4
Cynthia_sas
SAS Super FREQ
Hi:
How did you invoke the macro program definition? I only see the %MACRO and %MEND statements. Defining the macro program is only step 1. Next you have to invoke the macro program and cause the statements to be executed. Typically, all a macro program does is generate code. But the macro program must be invoked in order to generate the code. It is the generated code that gets sent to the compiler.

Cynthia
VDD
Ammonite | Level 13 VDD
Ammonite | Level 13

You have:

%macro RRLOOP (year1= 2001, year2= 2005,  nyear= 2, in_ds=temp1, out_ds=work.out_ds);

 

 

You may want this:

%macro RRLOOP (year1= , year2= ,  nyear= , in_ds=, out_ds=);

….

….

%mend RRLOOP;

 

%RRLOOP (year1= 2001, year2= 2005,  nyear= 2, in_ds=temp1, out_ds=work.out_ds);

 

Kurt_Bremser
Super User

You only define the macro, but never call it. So nothing happens.

Using options nosource while developing code is also not a very bright thing to do, as it greatly reduces the usefulness of the log.

ballardw
Super User

Use of line comments such as in this line can have very unexpected results with macros:

proc reg noprint data=&in_ds outest=oreg_ds1 edf;

  where date between &date1 and &date2;  *Restricted to DATE1- DATE2 data range in the loop;

Inside the body of a macro you should use:  %* comment text;

 

Or stick with the /* comment */ statement.

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