Why doesn't this macro code run?

[ZZB]

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

[Cynthia_sas]

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]

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]

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]

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.