Hi, I am trying to calculate the Probability of Informed Trading (PIN) using the codes provided by WRDS. However, i am getting some warnings and error messages in running the codes. Here are samples of warnings and error messages: ERROR: Execution Errors for _OBS_= 209 : ERROR: There are references to missing variables when the program code is executed for _OBS_= 209 WARNING: Your program statements cannot be executed completely. WARNING: In a total of 312 calls an error occurred during execution of the program statements. NLP attempted to recover by using a shorter step size. The codes that i am using are the followings: options ls=132 ps=max nocenter nodate nonumber fullstimer; proc sort data=buysell; by RIC; run; /*--------------------------------------------------------------------*/ /* This is the procedure used to maximize the log-likelihood function specified below. */ /* This particular factorization of the log-likelihood function appears in the paper Easley, David, Robert F. Engle, Maureen O'Hara, and Liuren Wu, 2001, "Time-Varying Arrival Rates of Informed and Uninformed Trades", AFA 2002 Atlanta Meetings, Available at SSRN: http://ssrn.com/abstract=294870 */ /*--------------------------------------------------------------------*/ proc nlp data=buysell noprint out=work.pinest (keep = RIC ALPHA ETA MU); by RIC; max loglik; decvar ALPHA, DELTA, ETA, MU; M = min(buys,sells) + max(buys,sells) / 2.0 ; x = eta / (mu + eta) ; bounds 0.0 < eta mu, 0.0 <= alpha delta <= 1.0 ; loglik = -2.0 * eta + M * log(x) + (buys + sells) * log(mu + eta) + log( alpha * (1.0 - delta) * exp(-1.0 * mu) * (x ** (sells - M )) + alpha * delta * exp(-1.0 * mu) * (x ** (buys - M)) + (1.0 - alpha) * (x ** (buys + sells - M)) ) ; run; proc sort data = work.pinest nodupkey; by RIC; run; data work.pinest; set work.pinest; PIN = alpha * mu / (alpha * mu + 2.0 * eta) ; label pin = 'Probability of informed trading' ; format pin 5.3 ; run; I have no clues how to resolve the issue. Can someone please help? I have added sample data in the attached data section. Thanks.
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