Hi,   I am building a decision tree model using proc hpsplit. As I am dealing with time-series data, I want to do a walk-forward validation as suggested instead of 10-fold cross-validation or random sampling as validation set. Validation of the trained decision tree model is done in sliding window: Starting at the beginning of the time series, 10-year window is used to train a model. The model makes a prediction for the next year. The prediction is stored or evaluated against known value Next sliding 10-year window to include the known value and the process is repeated (back to step 1.) How can we do this in SAS? Thank you. ... View more

I have this piece of code. However, the Macro in proc univariate generate too many separate dataset due to loop t from 1 to 310. How can I modify this code to include all proc univariate output into one dataset and then modify the rest of the code for a more efficient run? %let L=10; %* 10th percentile *; %let H=%eval(100 - &L); %* 90th percentile*; %let wlo=V1&L V2&L V3&L ; %let whi=V1&H V2&H V3&H ; %let wval=wV1 wV2 wV3 ; %let val=V1 V2 V3;   %macro winsorise(); %do v=1 %to %sysfunc(countw(&val)); %do t=1 %to 310; proc univariate data=regressors noprint; var &val; output out=_winsor&t._V&v pctlpts=&H &L prtlpre=&val&t._V&v; where time_count<=&t;run; %end; data regressors (drop=__:); set regressors; if _n_=1 then set _winsor&t._V&v; &wval&t._V&v=min(max(&val&t._V&v,&wlo&t._V&v),&whi&t._V&v); run; %end; %mend;   Thank you. ... View more

Hi, I am a new SAS user, I have panel data with many months and many stocks each month. I also have 10 other variables associated with each stock each month.I want to winsorise data following the instruction below:   -For a particular observation, for example, Var_1(i,t) (Variable 1 of stock i in month t), to winsorize it, first calculate the 5th and 95th percentiles of that variable in the dataset that includes all stocks and all time periods from the start of the sample up until time t. -If Var_1(i,t) is less than the 5th percentile, set its value to the 5th percentile value.  If Var_1(i,t) is greater than the 95th percentile, set its value to the 95th percentile value. -Repeat for all observations.  -Repeat for all variables.   Thank you. ... View more