I am desperately trying to run a rolling regression of a time series of a hedge fund return on a set of 6 equity and bond factors.I've just tried doing a macro, but still without success.Is there someone who can help me out? I attach the code I've written and the error log information. data mylib1.proj; set mylib1.myseries(keep= date Optimus MSCINordicLV MSCINordicSV SandPSwedenSG CreditSuisseHY EcapEuroCorp lag1Optimus); run; %macro rollingreg (data=mylib1.proj , out_ds=mylib1.proj1 , model_equation= Optimus= MSCINordicLV MSCINordicSV SandPSwedenSG CreditSuisseHY EcapEuroCorp lag1Optimus / noint, id= , date=date , start_date=1/10/7 , end_date=8/11/13 , freq=month, s=1, n=12, regprint=noprint); %* Start with empty output data sets; proc datasets nolist; delete _all_ds _outest_ds; run; * Prepare input data for by-id-date use; proc sort data=&data; by &id &date; run; %* Set the 'by-id' variable; %let by_id= ; *blank default, no by variable; %if %length(&id) > 0 %then %let by_id= by &id; %* Determine date range variables; %if %lowcase(%substr(&date,1,4))= year %then %let year_date=1; %else %let year_date=0; %let sdate1 = &start_date; %let sdate2 = &end_date; %* Make start and end date if missing; %if &start_date = %str() | &end_date = %str() %then %do; proc sql noprint; create table _dx1 as select min(&date) as min_date, max(&date) as max_date from &data where not missing(&date); select min_date into : min_date from _dx1; select max_date into : max_date from _dx1; quit; %end; %* SDATE1 and SDATE2 put in sas date number form (1/1/1960=0); %if &sdate1 = %str() %then %do; %let sdate1= &min_date; %end; %else %do; %if (%index(&sdate1,%str(-)) > 1) | (%index(&sdate1,%str(/)) > 1) %then %let sdate1= %sysfunc(inputn(&sdate1,mmddyy10.)); %else %if ( %length(&sdate1)=7 ) %then %let sdate1= %sysfunc(inputn(01&sdate1,date9.)); %else %if ( %length(&sdate1)=8 | %length(&sdate1)=9 ) %then %let sdate1= %sysfunc(inputn(&sdate1,date9.)); %else %if ( %length(&sdate1)=4 ) %then %let sdate1= %sysfunc(inputn(01JAN&sdate1,date9.)); %if &year_date=1 %then %let sdate1=%sysfunc(year(&sdate1)); %end; %if &sdate2 = %str() %then %do; %let sdate2= &max_date; %end; %else %do; %if (%index(&sdate2,%str(-)) > 1) | (%index(&sdate2,%str(/)) > 1) %then %let sdate2= %sysfunc(inputn(&sdate2,mmddyy10.)); %else %if ( %length(&sdate2)=7 ) %then %do; %let sdate2= %sysfunc(inputn(01&sdate2,date9.)); %let sdate2= %sysfunc(intnx(month,&sdate2,0,end)); %end; %else %if ( %length(&sdate2)=8 | %length(&sdate2)=9 ) %then %let sdate2= %sysfunc(inputn(&sdate2,date9.)); %else %if ( %length(&sdate2)=4 ) %then %let sdate2= %sysfunc(inputn(31DEC&sdate2,date9.)); %if &year_date=1 %then %let sdate2=%sysfunc(year(&sdate2)); %end; %*Determine loop frequency parameters; %if %eval(&n)= 0 %then %let n= &s; %* if n blank use 1 period (=&s) assumption; %if &year_date=1 %then %let freq=year; %* year frequency case; %put Date variable: &date year_date: &year_date; %put Start and end dates: &start_date &end_date // &sdate1 &sdate2; %if &year_date=0 %then %put %sysfunc(putn(&sdate1,date9.)) %sysfunc(putn(&sdate2,date9.)); %put Freq: &freq s: &s n: &n; %* Preliminary date setting for each iteration/loop; %* First end date (idate2) is n periods after the start date; %if &year_date=1 %then %let idate2= %eval(&sdate1+(&n-1)); %else %let idate2= %sysfunc(intnx(&freq,&sdate1,(&n-1),end)); %if &year_date=0 %then %let idate1= %sysfunc(intnx(&freq,&idate2,-&n+1,begin)); %else %let idate1= %eval(&idate2-&n+1); %put First loop: &idate1 -- &idate2; %put Loop through: &sdate2; %if (&idate2 > &sdate2) %then %do; %* Dates are not acceptable-- show problem, do not run loop; %put PROBLEM-- end date for loop exceeds range : ( &idate2 > &sdate2 ); %end; %else %do; *Dates are accepted-- run loops; %let jj=0; %do %while(&idate2 <= &sdate2); %let jj=%eval(&jj+1); %*Define loop start date (idate1) based on inherited end date (idate2); %if &year_date=0 %then %do; %let idate1= %sysfunc(intnx(&freq,&idate2,-&n+1,begin)); %let date1c= %sysfunc(putn(&idate1,date9.)); %let date2c= %sysfunc(putn(&idate2,date9.)); %end; %if &year_date=1 %then %do; %let idate1= %eval(&idate2-&n+1); %let date1c= &idate1; %let date2c= &idate2; %end; %let idate1= %sysfunc(max(&sdate1,&idate1)); %put Loop: &jj -- &date1c &date2c; %put &jj -- &idate1 &idate2; proc datasets nolist; delete _outest_ds; run; %***** analysis code here -- for each loop; %* noprint to just make output set; %let noprint= noprint; %if %upcase(®print) = yes | %upcase(®print) = print %then %let noprint= ; proc reg data=&data outest=_outest_ds edf &noprint; where &date between &idate1 and &idate2; model &model_equation; &by_id; run; %* Add loop date range variables to output set; data _outest_ds; set _outest_ds; regobs= _p_ + _edf_; %* number of observations in regression; date1= &idate1; date2= &idate2; %if &year_date=0 %then format date1 date2 date9.; run; %* Append results; proc datasets nolist; append base=_all_ds data=_outest_ds; run; %* Set next loop end date; %if &year_date=0 %then %let idate2= %sysfunc(intnx(&freq,&idate2,&s,end)); %else %if &year_date=1 %then %let idate2= %eval(&idate2+&s); %end; *% end of loop; %* Save outout set to desired location; data &out_ds; set _all_ds; run; proc sort data=&out_ds; by &id date2; run; %end; %* end for date check pass section; %mend; proc print data=mylib1.proj1(rename= (MSCINordicLV=beta1 MSCINordicSV=beta2 SandPSwedenSG=beta3 CreditSuiseeHY=beta4 EcapEurpoCorp=beta5 lag1Optimus=beta6)); by date; id date1 date2; var rmse beta1 beta2 beta3 beta4 beta5 beta6 rsq regobs; run; LOG error information: 160 data mylib1.proj; 161 set mylib1.myseries(keep= date Optimus MSCINordicLV MSCINordicSV SandPSwedenSG CreditSuisseHY 161! EcapEuroCorp lag1Optimus); 162 run; NOTE: There were 1595 observations read from the data set MYLIB1.MYSERIES. NOTE: The data set MYLIB1.PROJ has 1595 observations and 8 variables. NOTE: DATA statement used (Total process time): real time 0.01 seconds cpu time 0.01 seconds 163 %macro rollingreg 164 (data=mylib1.proj , 165 out_ds=mylib1.proj1 , 166 model_equation= Optimus= MSCINordicLV MSCINordicSV SandPSwedenSG CreditSuisseHY EcapEuroCorp 166! lag1Optimus / noint, 167 id= , date=date , 168 start_date=1/10/7 , 169 end_date=8/11/13 , 170 freq=month, s=1, n=12, 171 regprint=noprint); 172 %* Start with empty output data sets; 173 proc datasets nolist; 174 delete _all_ds _outest_ds; 175 run; 176 * Prepare input data for by-id-date use; 177 proc sort data=&data; 178 by &id &date; 179 run; 180 %* Set the 'by-id' variable; 181 %let by_id= ; *blank default, no by variable; 182 %if %length(&id) > 0 %then %let by_id= by &id; 183 %* Determine date range variables; 184 %if %lowcase(%substr(&date,1,4))= year %then %let year_date=1; 185 %else %let year_date=0; 186 %let sdate1 = &start_date; 187 %let sdate2 = &end_date; 188 %* Make start and end date if missing; 189 %if &start_date = %str() | &end_date = %str() %then %do; 190 proc sql noprint; 191 create table _dx1 as 192 select min(&date) as min_date, max(&date) as max_date 193 from &data where not missing(&date); 194 select min_date into : min_date from _dx1; 195 select max_date into : max_date from _dx1; 196 quit; 197 %end; 198 %* SDATE1 and SDATE2 put in sas date number form (1/1/1960=0); 199 %if &sdate1 = %str() %then %do; 200 %let sdate1= &min_date; 201 %end; 202 %else %do; 203 %if (%index(&sdate1,%str(-)) > 1) | (%index(&sdate1,%str(/)) > 1) 204 %then %let sdate1= %sysfunc(inputn(&sdate1,mmddyy10.)); 205 %else %if ( %length(&sdate1)=7 ) 206 %then %let sdate1= %sysfunc(inputn(01&sdate1,date9.)); 207 %else %if ( %length(&sdate1)=8 | %length(&sdate1)=9 ) 208 %then %let sdate1= %sysfunc(inputn(&sdate1,date9.)); 209 %else %if ( %length(&sdate1)=4 ) 210 %then %let sdate1= %sysfunc(inputn(01JAN&sdate1,date9.)); 211 %if &year_date=1 %then %let sdate1=%sysfunc(year(&sdate1)); 212 %end; 213 %if &sdate2 = %str() %then %do; 214 %let sdate2= &max_date; 215 %end; 216 %else %do; 217 %if (%index(&sdate2,%str(-)) > 1) | (%index(&sdate2,%str(/)) > 1) 218 %then %let sdate2= %sysfunc(inputn(&sdate2,mmddyy10.)); 219 %else %if ( %length(&sdate2)=7 ) %then %do; 220 %let sdate2= %sysfunc(inputn(01&sdate2,date9.)); 221 %let sdate2= %sysfunc(intnx(month,&sdate2,0,end)); 222 %end; 223 %else %if ( %length(&sdate2)=8 | %length(&sdate2)=9 ) 224 %then %let sdate2= %sysfunc(inputn(&sdate2,date9.)); 225 %else %if ( %length(&sdate2)=4 ) 226 %then %let sdate2= %sysfunc(inputn(31DEC&sdate2,date9.)); 227 %if &year_date=1 %then %let sdate2=%sysfunc(year(&sdate2)); 228 %end; 229 %*Determine loop frequency parameters; 230 %if %eval(&n)= 0 %then %let n= &s; 231 %* if n blank use 1 period (=&s) assumption; 232 %if &year_date=1 %then %let freq=year; 233 %* year frequency case; 234 %put Date variable: &date year_date: &year_date; 235 %put Start and end dates: &start_date &end_date // &sdate1 &sdate2; 236 %if &year_date=0 %then 237 %put %sysfunc(putn(&sdate1,date9.)) %sysfunc(putn(&sdate2,date9.)); 238 %put Freq: &freq s: &s n: &n; 239 %* Preliminary date setting for each iteration/loop; 240 %* First end date (idate2) is n periods after the start date; 241 %if &year_date=1 %then %let idate2= %eval(&sdate1+(&n-1)); 242 %else %let idate2= %sysfunc(intnx(&freq,&sdate1,(&n-1),end)); 243 %if &year_date=0 %then %let idate1= %sysfunc(intnx(&freq,&idate2,-&n+1,begin)); 244 %else %let idate1= %eval(&idate2-&n+1); 245 %put First loop: &idate1 -- &idate2; 246 %put Loop through: &sdate2; 247 %if (&idate2 > &sdate2) %then %do; 248 %* Dates are not acceptable-- show problem, do not run loop; 249 %put PROBLEM-- end date for loop exceeds range : ( &idate2 > &sdate2 ); 250 %end; 251 %else %do; *Dates are accepted-- run loops; 252 %let jj=0; 253 %do %while(&idate2 <= &sdate2); 254 %let jj=%eval(&jj+1); 255 %*Define loop start date (idate1) based on inherited end date (idate2); 256 %if &year_date=0 %then %do; 257 %let idate1= %sysfunc(intnx(&freq,&idate2,-&n+1,begin)); 258 %let date1c= %sysfunc(putn(&idate1,date9.)); 259 %let date2c= %sysfunc(putn(&idate2,date9.)); 260 %end; 261 %if &year_date=1 %then %do; 262 %let idate1= %eval(&idate2-&n+1); 263 %let date1c= &idate1; 264 %let date2c= &idate2; 265 %end; 266 %let idate1= %sysfunc(max(&sdate1,&idate1)); 267 %put Loop: &jj -- &date1c &date2c; 268 %put &jj -- &idate1 &idate2; 269 proc datasets nolist; 270 delete _outest_ds; 271 run; 272 %***** analysis code here -- for each loop; 273 %* noprint to just make output set; 274 %let noprint= noprint; 275 %if %upcase(®print) = yes | %upcase(®print) = print %then %let noprint= ; 276 proc reg data=&data 277 outest=_outest_ds edf 278 &noprint; 279 where &date between &idate1 and &idate2; 280 model &model_equation; 281 &by_id; 282 run; 283 %* Add loop date range variables to output set; 284 data _outest_ds; 285 set _outest_ds; 286 regobs= _p_ + _edf_; %* number of observations in regression; 287 date1= &idate1; 288 date2= &idate2; 289 %if &year_date=0 %then format date1 date2 date9.; 290 run; 291 %* Append results; 292 proc datasets nolist; 293 append base=_all_ds data=_outest_ds; 294 run; 295 %* Set next loop end date; 296 %if &year_date=0 %then %let idate2= %sysfunc(intnx(&freq,&idate2,&s,end)); 297 %else %if &year_date=1 %then %let idate2= %eval(&idate2+&s); 298 %end; *% end of loop; 299 %* Save outout set to desired location; 300 data &out_ds; 301 set _all_ds; 302 run; 303 proc sort data=&out_ds; 304 by &id date2; 305 run; 306 %end; %* end for date check pass section; 307 %mend; 308 proc print data=mylib1.proj1(rename= (MSCINordicLV=beta1 MSCINordicSV=beta2 SandPSwedenSG=beta3 308! CreditSuiseeHY=beta4 EcapEurpoCorp=beta5 lag1Optimus=beta6)); ERROR: File MYLIB1.PROJ1.DATA does not exist. 309 by date; 310 id date1 date2; 311 var rmse beta1 beta2 beta3 beta4 beta5 beta6 rsq regobs; 312 run; NOTE: The SAS System stopped processing this step because of errors. NOTE: PROCEDURE PRINT used (Total process time): real time 0.00 seconds cpu time 0.00 seconds
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