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PROC EXPAND can currently create rolling sums, and rolling sums-of-squares (e.g. rolling sum of X**2  and Y**2)

 

If it could also generate rolling sums-of-cross-products (i.e. rolling sum of X*Y), then one could generate rolling sums-of-squares-and-cross-products, which could then be fed into PROC REG for rolling-window regressions. 

2 Comments
ChrisHemedinger
Community Manager

Hi @mkeintz - I ran this by our internal SAS/ETS experts.  Have you looked at PROC TIMEDATA?  It allows you to perform all sorts of time series transformations.  "Rolling whatevers" -- to quote our expert 😉  From the doc: "The TIMEDATA procedure is like the SAS DATA step for time series data."

mkeintz
PROC Star

@ChrisHemedinger

 

Chris:  thanks for the tip - will take a look.