Hi @Ksharp Thank you very much for your kind reply in another thread on calculating rolling standard deviation. This is my new thread. I have built from your prior code. May I seek your advice on whether it is correct ? proc sql;
create table want as
select *,
case when count(return) <5 then .
else
(select std(return) from have where id=a.id and date between intnx('month',a.date,-3) and a.date )
end as std
from have as a;
quit; proc stdize data=have reponly method=mean out=want; var std; run; By the way, it seems that proc sql runs slowly, may I seek your advice on how to add the requirement of coding std as missing and replacing as cross section mean of std, if there is less than five nonzero observations over the prior 3 months in the rolling window ? using the following code you have provided in the another thread ? Thanks!! proc import datafile='c:\temp\daily_ret.txt' out=have dbms=tab replace;
guessingrows=32767;
run;
data have ;
set have;
ret=input(Returns,?? best32.);
drop Returns;
monyy=intnx('month',Names_Date,0);
format monyy yymmn6.;
run;
proc sort data=have;by PERMNO monyy Names_Date;run;
data want;
if _n_=1 then do;
if 0 then set have(rename=(ret=_ret));
declare hash h(multidata:'y');
h.definekey('Names_Date');
h.definedata('_ret');
h.definedone();
end;
array x{100} _temporary_;
do until(last.PERMNO);
set have;
by PERMNO;
_ret=ret;h.add();
end;
do until(last.PERMNO);
set have;
by PERMNO;
n=0;call missing(of x{*});
do i=intnx('month',monyy,-3) to intnx('month',monyy,-1,'e');
rc=h.find(key:i);
do while(rc=0);
n+1;x{n}=_ret;
rc=h.find_next(key:i);
end;
end;
std=std(of x{*});
output;
end;
h.clear();
drop i _ret n rc;
run;
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