About Yamani

Yamani · ‎11-01-2017

Reeza, thanks for your willing to help. I tried something else suggested by other user in the other forum. Thanks again.

Yamani · ‎11-01-2017

mkeintz, Awesome!! Finally it works! I was working on this point for more than a week! I really appreciate your help. Thanks a lot! Here is the adjusted code, in case anyone else needs it: proc sort data=ma.developed out=have; by country date; format date date9.; run; %let earliest_begdate=31dec1996; %let earliest_enddate=31aug2008; data recursive_sscp (type=SSCP drop=_I _J _nv_plus_intercept _nobs rename=(date=end_date)); set have (keep=country date return MA); by country; where date >= "&earliest_begdate"d; retain beg_date ; format beg_date date9.; array vars{*} Intercept return MA; array vnames{3} $32 _temporary_ ('Intercept','return','MA'); retain _nv_plus_intercept 3; array sscp{3,3} _temporary_; intercept=1; _nobs+1; if first.country then do; beg_date=date; _nobs=1; call missing(of sscp{*}); end; do _I=1 to _nv_plus_intercept; sscp{_I,_I}+vars{_I}**2; if _I < _nv_plus_intercept then do _J=_I+1 to _nv_plus_intercept ; sscp{_I,_J}+vars{_I}*vars{_J}; sscp{_J,_I}=sscp{_I,_J}; end; end; if date>="&earliest_enddate"d; _type_='SSCP'; do _I=1 to _nv_plus_intercept; _name_=vnames{_I}; do _J=1 to _nv_plus_intercept; vars{_j}=sscp{_I,_J}; end; output; end; _type_='N'; _name_=' '; do _J=1 to _nv_plus_intercept; vars{_J}=_nobs; end; output; run; proc reg data=recursive_sscp plots=none; by country beg_date end_date; model RETURN = MA; quit;

Yamani · ‎11-01-2017

1- I am attaching my sample data 2- Here is the code I am using: data roll; set developingrank; i=1;do while(i<=141); output; rankdate=intnx('month', date, 0)-1; i=i+1;; end; run; *Note: The "trick" which I want to add in the above code is to pass through the data (ending date) once 3- I have already posted a sample data and my code in the other forum but you replied that "you don't have time to work on something this complex"! Thanks for your help.

Yamani · ‎11-01-2017

Thanks for your reply. This is helpful. I adjusted the code you sent to my data. However, the regressions are estimated just once for each country with the same and ending date. I don't know how to pass through the data once proc sort data=ma.developed out=have; by country date; format date date9.; run; %let earliest_begdate=31dec1996; %let earliest_enddate=31aug2017; data recursive_sscp (type=SSCP drop=_I _J _nv_plus_intercept _nobs rename=(date=end_date)); set have (keep=country date return MA); by country; where date >= "&earliest_begdate"d; retain beg_date ; format beg_date date9.; array vars{*} Intercept return MA; array vnames{3} $32 _temporary_ ('Intercept','return','MA'); retain _nv_plus_intercept 3; array sscp{3,3} _temporary_; intercept=1; _nobs+1; if first.country then do; beg_date=date; _nobs=1; call missing(of sscp{*}); end; do _I=1 to _nv_plus_intercept; sscp{_I,_I}+vars{_I}**2; if _I < _nv_plus_intercept then do _J=_I+1 to _nv_plus_intercept ; sscp{_I,_J}+vars{_I}*vars{_J}; sscp{_J,_I}=sscp{_I,_J}; end; end; if date>="&earliest_enddate"d; _type_='SSCP'; do _I=1 to _nv_plus_intercept; _name_=vnames{_I}; do _J=1 to _nv_plus_intercept; vars{_j}=sscp{_I,_J}; end; output; end; _type_='N'; _name_=' '; do _J=1 to _nv_plus_intercept; vars{_J}=_nobs; end; output; run; proc reg data=recursive_sscp plots=none; by country beg_date end_date; model RETURN = MA; quit;

Yamani · ‎11-01-2017

Hello all, I want to build data to be used for recursive regression. I have 10 countries with each country has 239 months of data, I want the following collection of 98 recursive windows for EACH country, as follows: Country 1: Window 1 has the first 141 observations (first 141 months) Window 2 has the first 142 observations (first 142 months) Window 3 has the first 143 observations (first 141 months) ... Window 98 has the first 239 observations (first 239 months: and this is the full sample period) Country 2: Window 1 has the first 141 observations (first 141 months) Window 2 has the first 142 observations (first 142 months) Window 3 has the first 143 observations (first 141 months) ... Window 98 has the first 239 observations (first 239 months: and this is the full sample period) an so on..... I don't know how to build the above data set. Any help will be appreciated. Thanks.

Yamani · ‎11-01-2017

Thanks for your help. Not exactly. I have 10 countries with each country has 239 months of data, I want the following collection of 98 recursive windows for EACH country, as follows: Country 1: Window 1 has the first 141 observations (first 141 months) Window 2 has the first 142 observations (first 142 months) Window 3 has the first 143 observations (first 141 months) ... Window 98 has the first 239 observations (first 239 months: and this is the full sample period) Country 2: Window 1 has the first 141 observations (first 141 months) Window 2 has the first 142 observations (first 142 months) Window 3 has the first 143 observations (first 141 months) ... Window 98 has the first 239 observations (first 239 months: and this is the full sample period) an so on..... ==============================

Yamani · ‎10-31-2017

I am attaching the output data set (Roll)

Yamani · ‎10-31-2017

Hello All, Let me simplify my previous question: ************************************************************************************************************************************* ******* Input data set: 'developingrank', and it is attached, which includes time series data for N countries ************************************************************************************************************************************* ****** Code: I use the following code to build a data set for rolling regression (i.e., dropping earlier observations as additional observations become available): data roll; set developingrank; i=1;do while(i<=141); output; rankdate=intnx('month', date, 0)-1; i=i+1;; end;run; data roll; set roll; where ('30Aug08'd <= rankdate); run; ************************************************************************************************************************************* ****** Output (attached): Roll The output of the above code is data set 'roll' (attached), so that - the first rankdate (Dec 1996) includes data from December 1996 to August 2008 (141 observations), - the second rankdate (Jan 1997) includes data from January 1997 to September 2008 (141 observations), - the third rankdate (Feb 1997) includes data from Feb1997 to October 2008 (141 observations) , and so on ************************************************************************************************************************************* ****** REQUIRED CODE: I want to change the above SAS code to run recursive regression (i.e. keeps the starting date (i.e., December 1996) fixed, and then adding an observation to the end of the sample with every run of the regression). ************************************************************************************************************************************* ****** REQUIRED OUTPUT DATASET: So, the desired output dataset should be as follows: - the first rankdate (Dec 1996) includes data from December 1996 to August 2008 (141 observations) , - the second rankdate (Jan 1997) includes data from December 1996 to September 2008 (142 observations), - the third rankdate (Feb 1997) includes data from December 1996 to October 2008 (143 observations) , and so on ........ Any feedback will be appreciated. Thanks in advance.

Yamani · ‎10-31-2017

I am attaching the output data set (Roll)

Yamani · ‎10-31-2017

Hello All, ************************************************************************************************************************************* ******* Input data set: 'developingrank', and it is attached, which includes time series data for N countries ************************************************************************************************************************************* ****** Code: I use the following code to build a data set for rolling regression (i.e., dropping earlier observations as additional observations become available): data roll; set developingrank; i=1;do while(i<=141); output; rankdate=intnx('month', date, 0)-1; i=i+1;; end;run; data roll; set roll; where ('30Aug08'd <= rankdate); run; ************************************************************************************************************************************* ****** Output (attached): Roll The output of the above code is data set 'roll' (attached), so that - the first rankdate (Dec 1996) includes data from December 1996 to August 2008 (141 observations), - the second rankdate (Jan 1997) includes data from January 1997 to September 2008 (141 observations), - the third rankdate (Feb 1997) includes data from Feb1997 to October 2008 (141 observations) , and so on ************************************************************************************************************************************* ****** REQUIRED CODE: I want to change the above SAS code to run recursive regression (i.e. keeps the starting date (i.e., December 1996) fixed, and then adding an observation to the end of the sample with every run of the regression). ************************************************************************************************************************************* ****** REQUIRED OUTPUT DATASET: So, the desired output dataset should be as follows: - the first rankdate (Dec 1996) includes data from December 1996 to August 2008 (141 observations) , - the second rankdate (Jan 1997) includes data from December 1996 to September 2008 (142 observations), - the third rankdate (Feb 1997) includes data from December 1996 to October 2008 (143 observations) , and so on ........ Any feedback will be appreciated. Thanks in advance.

Yamani · ‎10-30-2017

I am attaching also my sample data

Yamani · ‎10-30-2017

Hi Reeza, Thanks again for your willing to help. I really appreciate it. ******************************** First: Data set I am attaching a sample of my data set (sampledata) for two countries: Australia and Canada ******************************** Second: Analysis I built one data set to run rolling regression (which drops earlier observations as additional observations become available), and Here is the code I used to build data set to be used for Rolling Regression (and it works fine): data firstandlastdates; set sampledata(keep=country date); by country; retain firstdate; date=intnx('month', date, 1)-1; if first.country then firstdate=date; if last.country then do;lastdate=date; output;end;run; data developedrank(rename=(date=rankdate)); set firstandlastdates; date=firstdate; do while(date<=lastdate);output; date=intnx('month', date+1, 1)-1; end;run; data sampleresults (drop=firstdate lastdate); set developedrank; date=rankdate; i=1;do while(i<=141);output; date=intnx('month', date, 0)-1;i=i+1; format date DATE9.; end;run; For your reference, I am attaching the 'sampleresults' file (the output from the above code) ******************** Third: Required I want to adjust the above code to use it to run recursive regression rather than rolling regression: Specifically, I want to adjust the code so that keeps the starting date (i.e., December 1996) fixed, and then adding an observation to the end of the sample with every run of the regression).

Yamani · ‎10-30-2017

Hi Reeza, Thanks for your reply. All what I need is just building my data set with the start/end dates needed, as described in my first post. Once I build the data, I can do the regression. The problem, however, is that I don't know how to build the data.

Yamani · ‎10-30-2017

Hello all, I want to run out-of-sample forecasts with rolling regressions for N countries from September 2008 to August 2017 *************; ********************************************************* Data Set ***************************************** * My dataset is panel monthly data with 10 countries * Sample period: From December 1996 to August 2017. Here is an example to show my data set. Date Country Y X Number Observation 12/31/1996 Australia 1 1 01/31/1997 Australia 1 2 ...... ..... ..... 08/31/2017 Australia 1 250 12/31/1996 Canada 2 1 ........ ....... 08/31/2017 Australia 2 250 ...... ..... ...... 12/31/1996 UK 10 1 ....... ...... ...... 08/31/2017 UK 10 250 ****************** Modified Data set ******************************************** I modified the above data set by creating a new date variable called 'Rankdate' that shows the ending date in each rolling regression, as follows: Rankdate Date Country Y X Number Observations August 2008 12/31/1996 Australia 1 1 August 2008 01/31/1997 Australia 1 2 ...... August 2008 08/31/2008 Australia 1 September 2008 01/31/1997 Australia 1 ..... September 2008 09/30/2008 Australia 1 ................... ..................... August 2017 12/31/2005 Australia 1 ............ August 2017 08/30/2017 Australia 1 August 2008 12/31/1996 Canada 2 ........ ....... ...... ..... ...... August 2017 08/31/2017 UK 10 ************************************ Goal: Run Recursive Regression ************************************ * I want to run several recursive regressions for EACH country (i.e. keeps the starting date (i.e., December 1996) fixed, and then adding an observation to the end of the sample with every run of the regression). More specifically, I run the following sas code: PROC UCM DATA = ma.developingrank(where=(country='CZ')); BY rankdate; ID DATE INTERVAL=MONTH; MODEL RETURN = MA; IRREGULAR; level var=0; estimate back=1 outest=ma.OOSRollEst1;*The default is BACK=0, which means that the forecast starts at the end of the available data; FORECAST back=1 LEAD=1 outfor=ma.OOSRollRes1 plot=forecasts; *forecast span;*This reports the one-step ahead out-of-sample forecast; RUN; My problem, however, is that the above code gives me forecast for each rolling window, and I don't know which model to report in my paper, and HOW? Thanks for your help in advance.

Yamani · ‎10-30-2017

Hello all, I want to create a data set that will allow me to run recursive regression. ********************************************************* Data Set ***************************************** * My dataset is panel monthly data with 10 countries * Sample period: From December 1996 to August 2017. Here is an example to show my data set. Date Country Y X Number Observation 12/31/1996 Australia 1 1 01/31/1997 Australia 1 2 ...... ..... ..... 08/31/2017 Australia 1 250 12/31/1996 Canada 2 1 ........ ....... 08/31/2017 Australia 2 250 ...... ..... ...... 12/31/1996 UK 10 1 ....... ...... ...... 08/31/2017 UK 10 250 ************************************ Goal: Run Recursive Regression ************************************ * I want to run several recursive regressions for EACH country (i.e. keeps the starting date (i.e., December 1996) fixed, and then adding an observation to the end of the sample with every run of the regression). More specifically: - the first regression is run with data from December 1996 to August 2008, - the second regression is run with data from December 1996 to September 2008, - the third regression is run with data from December 1996 to October 2008, ........................... ........................ ........................ - the last regression is run with data from December 1996 to August 2017. I was thinking to create a new date variable (call it Rankdate) that shows the ending date in each recursive regression, as follows: Rankdate Date Country Y X Number Observations August 2008 12/31/1996 Australia 1 1 August 2008 01/31/1997 Australia 1 2 ...... August 2008 08/31/2008 Australia 1 141 September 2008 12/31/1996 Australia 1 142 ..... September 2008 09/30/2008 Australia 1 283 ................... ..................... August 2017 12/31/1996 Australia 1 ............ August 2017 08/30/2017 Australia 1 August 2008 12/31/1996 Canada 2 1 ........ ....... ...... ..... ...... August 2017 08/31/2017 UK 10 After having the above dataset, I can easily run PROC REG or PROC PANEL by RANKDATE and by COUNTRY. My problem, however, is how to create the above data set. Thanks for your help in advance.

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