About yotsuba88

yotsuba88 · ‎01-30-2017

Hi guys, I have datasets but I cannot figure out how to combine them into table for my study. Data 1: Id _TYPE_ _FREQ_ _STAT_ lo _1 _2 _3 _4 _5 _6 _7 _8 hi hi_lo 0 1057 N 1057 1057 1057 1057 1057 1057 1057 1057 1057 1057 1057 0 1057 MIN -0.22111 -0.2219 -0.17418 -0.17602 -0.16021 -0.17463 -0.15269 -0.17586 -0.18802 -0.21369 -0.26344 0 1057 MAX 0.48114 0.373123 0.378219 0.407785 0.369088 0.437692 0.45696 0.482542 0.465672 0.565849 0.191825 0 1057 MEAN 0.005521 0.00818 0.009393 0.010307 0.01091 0.011886 0.012513 0.013377 0.014061 0.016413 0.010892 0 1057 STD 0.062728 0.051646 0.047011 0.044721 0.042443 0.042108 0.043049 0.045113 0.047327 0.058048 0.032986 Data 2 : residual (the same table but different data) I want to keep MEAN and change it to ID or RESIDUAL in horizons. And keep columns lo _1 _2 _3... Please tell me how can I do it. Thank you so much.

yotsuba88 · ‎11-21-2016

Hi Mark, I really appreciate your help. I did try with one permno and compare results with your code. It is correct with the first window, other windows are different. The end of months are correct but I dont know how to check the first date of every loop, I believe something is wrong with this. Could you please help me again? Could I use SSCP for proc means like Proc reg? Thank you so much, Ha

yotsuba88 · ‎11-20-2016

I am really confused how to use your code because the daily data in one year is not the same. Sometimes, there are 270 days or nearly 300 days because data of some days are missing. How can I use it flexible and shift for one month forward. Many thanks

yotsuba88 · ‎11-19-2016

I really appreciate both of you, guys. Now I am still struggling to understand how it works and how I write the code. Anw, I will try all suggestions to find the best one. Best,

yotsuba88 · ‎11-17-2016

I dont know, I read your alarm message first then your 2 papers. So it is misunderstood, I am reading your papers and trying to apply them. Best,

yotsuba88 · ‎11-17-2016

Hi Mark, I really appreciate your support, I am going to find out my code based on your papers now. Hope I can do it. Have a good day. Ha

yotsuba88 · ‎11-17-2016

Thank you very much for your suggestion. So I think I will try to another code to solve this.

yotsuba88 · ‎11-17-2016

My data has 27.612.898 observations. I want to create to run proc preg for R2 and residual (CAPM model) and skewness (has formula). If data is too large, I just use it for calculate one by one, if I can find solution. Thank you so much for suggestion, I am just gg search and reading how to use but I have no idea until now.

yotsuba88 · ‎11-17-2016

Thank you, I am going to check now. But I want create rolling window to calculate R2, residual (must use proc preg for regression market model) and skewness. So can i combine proc preg and proc sql? and how about skewness? Thank you so much,

yotsuba88 · ‎11-17-2016

Thank you, I am a beginner of Sas so I am trying to find how to create table as you said. But I am running daily stock return for US market, could it use for very large data.

yotsuba88 · ‎11-17-2016

I mean b. date from 01JAN2000 to 31DEC2000 --> it will be used for hold year to calculate in JAN2001 (a.date, can be 01Jan2001 or 31 jan2001, it is not important) b. date from 01FEB2000 to 31JAN2001 ---> will be used for next month in FEB 2001 (a.date shift one month) b. date from 01MAR2000 to 31FEB2001 ---> MAR 2001

yotsuba88 · ‎11-17-2016

Thank you so much, I did try, but a.date just shifts one day, and I need it shift for one month.

yotsuba88 · ‎11-17-2016

Yes, I did assign it J=12

yotsuba88 · ‎11-16-2016

Hi all, I used the code to create rolling window for 12 months (t-12) to calculate R2, residual... for month t . For ex, 01JAN2000 to 31DEC2000 --> JAN2001 01FEB2000 to 31JAN2001 ---> FEB 2001 01MAR2000 to 31FEB2001 ---> MAR 2001 ..... I can run with monthly data, but for DAILYdata I cannot use this code: proc sql; create table Form100 as select distinct a.permno, a.date as end, b.ret, b.date from crsp3 (keep=permno date) as a, crsp3 as b where a.permno=b.permno and 1<=intck("month", b.date, a.date)<&J and 0<=intck("year",b.date,a.date)<=1 group by a.permno, a.date; quit; Could you please me with this? THank you very much. HA

yotsuba88 · ‎10-25-2016

Thank you. But how about if one stock has data for more than 10 years (ex.) but some data in some months are missing in 36 month rolling window, should we delete the loop or stock?

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