I am trying to find the return over a 5 minute period by using proc expand in SAS. I am working on financial time series data. The time data is in hr:min:sec. Sample data is given below: date Co time price vol 01JAN2012 ABC 9:55:59 166.00 100 01JAN2012 ABC 9:56:02 165.40 50 01JAN2012 ABC 9:56:02 165.40 25 01JAN2012 ABC 9:56:03 166.45 700 01JAN2012 ABC 9:56:03 166.80 20 01JAN2012 ABC 9:56:03 167.00 280 01JAN2012 ABC 9:56:06 166.45 1 01JAN2012 ABC 9:56:06 166.05 24 01JAN2012 ABC 9:56:15 166.50 500 01JAN2012 ABC 9:56:16 166.50 25 01JAN2012 ABC 9:56:17 166.50 475 01JAN2012 ABC 9:56:22 166.25 10 01JAN2012 ABC 9:56:26 166.05 50 01JAN2012 ABC 9:56:30 166.25 20 01JAN2012 ABC 9:56:38 166.05 126 01JAN2012 ABC 9:56:40 166.00 100 01JAN2012 ABC 9:56:40 166.00 1 01JAN2012 ABC 9:56:40 166.00 1 01JAN2012 ABC 9:56:43 166.00 1 01JAN2012 ABC 9:56:46 166.00 2 But the output throws up 'time' as 0,1,2,3.... when I run the following code: data temp;set alldata_sas7bdat; proc expand data=temp out=lagtst method=none; convert time=time_lag1 / transform=(lag 1); convert price=price_lag1 / transform=(lag 1); by date; run; proc print data=lagtst (obs=5000); run; proc delete data=temp; data lagtst_2;set lagtst; timegap = time-time_lag1; if timegap > 0 and timegap < 5 then return=log(price/price_lag1); else return=.; run; While I have tried to calculate return over a '5 minute' period, the data I have posted here is not enough. I can provide more data but I wonder if it would be too cumbersome here. So please suggest a method for finding out return of a '5 second' period. I will then make changes to find return over a 5-minute period. Thanks. ... View more