About MAC1430

MAC1430 · ‎09-06-2021

Thank you very much for the code and explanation around it. This is new knowledge and a learning process for me, if it's convenient, Could you kindly shed light on how the other solution on each side of the pole at r=−1 looks like, using the SOLVE function? Appreciate it. Mac

MAC1430 · ‎09-04-2021

Hi Reinhard, Thank you very much for the comment. I updated the formula, you are right, the second fraction is not part of the sum function (I should have checked it more carefully, my bad). What I'm confused about the new equation is, the unknown r, is embeded in both numerator and denominator . In the first equation, the unknown is only in the denominator. Could you pls kindly show on how to solve the new equation using proc fcmp? Sorry, I'm not farmilar with this function, thus asking you again, your help is Veryyy much appreciated.

MAC1430 · ‎09-03-2021

Hi everyone, I want to solve equation below to calculate r for each stock: data test; input stock$ y B P F g; datalines; A 1 12.1492 80.16 3.8886 0.3038 A 2 15.3785 63.54 4.8659 0.3769 A 3 11.5507 41.19 4.5454 0.205 A 4 15.1777 35.28 4.3858 0.1478 A 5 14.9545 52 5.7079 0.0644 A 6 15.8837 50.78 6.1861 -0.0636 A 7 19.3065 67.64 6.7226 -0.0915 A 8 21.6415 72.05 7.7686 -0.0553 A 9 23.6561 74.51 8.804 0.0005 A 10 27.2373 43.05 9.0739 0.123 B 1 6.3668 37.8 2.7893 0.3038 B 2 7.6967 35.4 3.238 0.3769 B 3 8.6812 29.3 3.2122 0.205 B 4 8.999 30.9 3.2352 0.1478 B 5 9.5064 29.75 3.5381 0.0644 B 6 10.1293 39.3 3.4308 -0.0636 B 7 12.2344 43.3 3.7561 -0.0915 B 8 13.2885 52 4.2523 -0.0553 B 9 13.9864 41.6 4.7464 0.0005 B 10 14.043 50.2 4.2598 0.123 C 1 1.4639 24.19 0.3939 0.3038 C 2 2.3384 19.52 1.3403 0.3769 C 3 2.626 7.96 -1.0251 0.205 C 4 2.7283 15.72 0.3156 0.1478 C 5 2.3651 11.81 0.049 0.0644 C 6 2.8771 16.9 0.964 -0.0636 C 7 3.532 18.84 1.1485 -0.0915 C 8 4.5199 21.66 2.0169 -0.0553 C 9 4.379 12.75 2.0582 0.0005 C 10 4.6028 24 0.9412 0.123 ; If you know a solution to this problem, please comment, it is very much appreciated.

MAC1430 · ‎09-02-2021

Hi everyone, I need to calculate cost of capital based on the model looks like below: All the variables in this model are known, except the discount rate . I’m entering a dead end to find useful code to solve the equation above, where only is the unknown. If you know a solution to this problem, please comment, it is very much appreciated. Thank you very much.

MAC1430 · ‎08-25-2020

Sorry, I should have mentioned it. Yes I am using proc reg. I used test but it provided F-test instead of t-test.

MAC1430 · ‎08-24-2020

Thank you. But I am interested in the total effect of b1 and b2. The total effect of b1 and b2 is just the sum of b1 and b2, but the issue is how to estimate the statistical significance of the total effect (b1+b2)?

MAC1430 · ‎08-24-2020

I am going to estimate the following model: y=constant+b1(X)+b2(X)(Dummy) We have daily data from 1990 to 2000. Dummy variable is equal to one for the daily data of year 2000, else zero. b1 is the main effect, and b2 is the marginal effect because of the dummy. The total effect in year 2000= b1+b2. How to estimate the statistical significance t-stat for this total effect (b1+b2)? One and easy way is to use a a dummy with D′=1−D′. However, I am more interested to use contrasts. The details about both methods are available at https://stats.stackexchange.com/questions/474912/total-effect-of-main-variable-and-its-interaction-with-dummy Thank you very much.

MAC1430 · ‎05-31-2018

Yes, SQL is quite easier to understand and make changes. I will check the run-times of both SQL and hash, I guess hash will outperform since my data-set is 100 millions observations.

MAC1430 · ‎05-31-2018

Dear Patrick, Thank you for pointing out this one. Yes, my source data is a SAS table, so I I will use data setp hash approach them. Thanks again to both of you, its really helpful 🙂

MAC1430 · ‎05-31-2018

Thanks you very much for ksharp :). Its even short code and more efficient.

MAC1430 · ‎05-31-2018

Thank you very much, it works very well.

MAC1430 · ‎05-31-2018

Hi everyone, I want to drop stocks in a month with less than five non-zero returns. For example stock 1 has 7 daily returns in March 2018 but only three non-zero returns. Therefore, I want to delete daily returns of stock 1 for March 2018. I have millions of observations, so I would appreciate an efficient code. Please find the SAS data below. Thanks a lot for your help. Best, Cheema data have; infile cards expandtabs truncover; input stock date : yymmdd10. ret ; format date yymmdd10.; cards; 1 2018-03-01 0 1 2018-03-02 0.1 1 2018-03-03 0 1 2018-03-04 0.03 1 2018-03-05 0 1 2018-03-06 0.02 1 2018-03-07 0 2 2018-03-01 0.02 2 2018-03-02 0.03 2 2018-03-03 0.04 2 2018-03-04 0.05 2 2018-03-05 0.06 2 2018-03-06 0.07 2 2018-03-07 0.08 2 2018-03-08 0 1 2018-04-01 0.02 1 2018-04-02 0.03 1 2018-04-03 0.04 1 2018-04-04 0.05 1 2018-04-05 0.06 1 2018-04-06 0.07 1 2018-04-07 0.08 2 2018-04-01 0.02 2 2018-04-02 0.03 2 2018-04-03 0.04 2 2018-04-04 0.05 2 2018-04-05 0.06 2 2018-04-06 0.07 2 2018-04-07 0.08 2 2018-04-08 0 run;

MAC1430 · ‎05-29-2018

Thank you very much, it works very well 🙂

MAC1430 · ‎05-29-2018

Hi Everyone, I want to delete non-trading days where more than 50% stocks have zero returns. For example 60% of the total stocks (3 out of 5) have zero returns for 2010-01-07. Therefore, I want to delete 2010-01-07 from the sample. I have millions of observations, so I would appreciate an efficient code. Please find the SAS data below. Thanks a lot for your help. Best, Cheema data have; infile cards expandtabs truncover; input stock date : yymmdd10. ret ; format date yymmdd10.; cards; 1 2010-01-07 0 1 2010-01-26 -0.02544 1 2010-01-29 0.03384 2 2010-01-07 0 2 2010-01-26 -0.06219 2 2010-01-29 0.01989 3 2010-01-07 0.02 3 2010-01-26 -0.04 3 2010-01-29 0.023 4 2010-01-07 0 4 2010-01-26 -0.02 4 2010-01-29 0.012 5 2010-01-07 0.01 5 2010-01-26 0.02 5 2010-01-29 -0.012 run;

MAC1430 · ‎02-11-2018

Hi Chris, Thanks.Just wondering if it is possible to show onlye one date for each cell. For example, to how only 31Aug1989 for last cell instead of 01Sep1988-31AUG1989. Thanks for your help.

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Re: Drop stock in a month with less than five non-zero returns

Re: Drop stock in a month with less than five non-zero returns

Re: Drop stock in a month with less than five non-zero returns

Re: Drop stock in a month with less than five non-zero returns

Drop stock in a month with less than five non-zero returns

Re: Drop non-trading days where more than 50% stocks have zero returns

Drop non-trading days where more than 50% stocks have zero returns

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