Dear all, I'm working on a regression with rolling beta. My regression starts from 2004/01/31 to 2017/12/31. Based on 60 monthly returns, estimated betas for each of the two stocks at the end of each year for the recent 10 years. For example, 2004/01/31 to 2008/12/31, 2005/01/31 to 2009/12/31, 2006/01/31 to 2010/12/31, ...., 2013/01/31 to 2017/12/31 It is to obtain period beta for stock A and B by 10 periods. Here are my expected results: beta (A) beta (B) period 1 (2004/01/31 ~ 2008/12/31) x.xx x.xx period 2 (2005/01/31 ~ 2009/12/31) x.xx x.xx : : : period10 (2013/01/31 ~ 2017/12/31) x.xx x.xx SAS code in my textbook is following. How should I fix it? data aaa ; set beta.beta ; keep cusip date ret sprtrn ; format date yymmdd6. ; rename cusip=firm ret=r sprtrn=rm ; run ; proc sort data=aaa ; by firm date ; run ; data begin (keep=firm bgndate) end (keep=firm enddate) ; set aaa ; by firm ; if first.firm then do ; bgndate=date ; format bgndate yymmdd6. ; output begin ; end ; if last.firm then do ; enddate=date ; format enddate yymmdd6. ; output end ; end ; run ; data length ; merge begin end ; by firm ; * delete firms with too few return days ; if bgndate > mdy (01,31,13) then delete ; if enddate < mdy (12,31,08) then delete ; keep firm ; run ; data gooddata ; merge aaa length (in=a) ; by firm ; if a ; n + 1 ; if first.firm then n=1 ; run ; %macro estim ; %do x = 50 %to 66 ; data temp ; set gooddata ; if &x - 49 <= n <= &x ; per = &x ; proc reg data = temp outest = results ; model r = rm ; by firm per ; quit ; proc append base = betas1 data = results ; %end ; %mend estim ; %estim ; run ; Here is example data(data=aaa). Date firm r rm 040129 45920010 0.01234 0.00134 040227 45920010 0.00123 -0.00145 : : : : 171227 45920010 0.12398 0.00258 040129 59491810 0.01234 0.00134 040227 59491810 0.00123 -0.00145 : : : : 171227 59491810 0.12398 0.00258
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