About vl12

vl12 · ‎09-16-2018

thank you! You are right that there is a mistake in the proc sort. Should be proc sort by gvkey datadate. Yes I'd like the minimum # of obs in a regression of 8 observations and I'd like to use all the observations prior to the certain 'gvkey datadate'. For example, if for one gvkey datadate, I have 9 quarter of data prior to this date, I'd like to put them all in the regression. And if I have 10, I'd like to use all of them PRIOR to this date. The only requirement is I 'd like to have at least 8 observations. How can I do this?

vl12 · ‎09-12-2018

how to run the regression on a rolling basis as follows? for each firm (gvkey) and date(datadate), include all the observations for this firm before this date but require at least 8 observations for this regression? the regression code is as follows data erc; set data.erctest1; proc sort data=erc nodupkey; by gvkey; proc reg data=erc outest=cfsde adjrsq noprint; model car= ue; by gvkey; output out=varone r=residone; the data is data WORK.ERCTEST; infile datalines dsd truncover; input gvkey:$6. datadate:YYMMDDN8. ue:32. car:32.; format datadate YYMMDDN8.; label gvkey="Global Company Key" datadate="Data Date"; datalines; 001690 20070331 . . 001690 20070630 0.0004525206 0.4670161755 001690 20070930 0.0006423839 0.2271965327 001690 20071231 0.0038899365 0.0535349058 001690 20080331 -0.004237645 -0.04493543 001690 20080630 0.0001820518 0.1184123378 001690 20080930 0.0006338696 -0.242361881 001690 20081231 0.0147242809 -0.06718815 001690 20090331 -0.006772771 0.4468636412 001690 20090630 0.0016303555 0.0926635129 001690 20090930 0.0042211539 0.0569200846 001690 20091231 0.0044297225 0.0694110274 001690 20100331 -0.001422126 0.1062908265 001690 20100630 0.0007790463 0.1138357995 001690 20100930 0.0040591522 0.1280910542 001690 20101231 0.0057087261 -0.024709269 001690 20110331 -0.000052753 -0.053340722 001690 20110630 0.0042457609 0.1448117306 001690 20110930 -0.001933107 0.2521745565 001690 20111231 0.0170601425 -0.080865297 001690 20120331 -0.002572389 0.2810152156 001690 20120630 -0.005111778 0.0876576022 001690 20120930 -0.000959221 -0.032848439 001690 20121231 0.0097159076 -0.22854538 001690 20130331 -0.008485084 -0.223406274 001690 20130630 -0.007348195 -0.014162502 001690 20130930 0.0014275724 0.1887835903 001690 20131231 0.0111048837 0.0384054444 001690 20140331 -0.00615956 -0.078924939 001690 20140630 -0.004446851 0.1953453542 001690 20140930 0.0012165497 0.1066788925 001690 20141231 0.0148603652 0.0470219108 001690 20150331 -0.006213387 0.1303489251 001690 20150630 -0.004041365 0.0175582589 001690 20150930 0.0007264318 -0.071783252 001690 20151231 0.012400347 -0.069109732 001690 20160331 -0.013138595 -0.071681597 001690 20160630 -0.005275545 -0.119072014 001690 20160930 0.0020190515 0.2109433449 001690 20161231 0.0145839438 -0.026547759 001690 20170331 -0.009175424 0.1675285819 001690 20170630 -0.003105223 0.0070201798 001690 20170930 0.0025276878 0.0806324686 001690 20171231 0.010873663 -0.077033442 001690 20180331 -0.007527275 0.0769450604 001690 20180630 -0.002568958 0.1174891488 012141 20070331 . . 012141 20070630 -0.006840826 0.039301915 012141 20070930 0.0045501006 0.0791492442 012141 20071231 0.00125861 0.2159948102 012141 20080331 -0.001207337 -0.091396305 012141 20080630 -0.000361478 -0.013992142 012141 20080930 0.0003172004 0.2467016235 012141 20081231 -0.001151606 -0.171371867 012141 20090331 -0.00732306 -0.058326322 012141 20090630 0.0003211438 0.1484024492 012141 20090930 0.0023109721 -0.000563749 012141 20091231 0.0114983925 0.1113820094 012141 20100331 -0.010350052 -0.038707234 012141 20100630 0.0025670507 -0.094669369 012141 20100930 0.0042540329 -0.06558027 012141 20101231 0.005218999 0.0450195831 012141 20110331 -0.006549471 -0.113316172 012141 20110630 0.0029479832 0.0599936985 012141 20110930 -0.000649708 0.1114515078 012141 20111231 0.0040717526 -0.048890014 012141 20120331 -0.005595293 0.0330296286 012141 20120630 -0.021843021 -0.007530868 012141 20120930 0.0197814607 -0.068648255 012141 20121231 0.0085439504 -0.105270689 012141 20130331 -0.001348278 0.0355996234 012141 20130630 -0.00378879 0.1366469038 012141 20130930 0.0010044828 -0.111795675 012141 20131231 0.0042318432 -0.009889401 012141 20140331 -0.002652274 0.0791397488 012141 20140630 -0.003050357 0.066885466 012141 20140930 -0.000188136 0.0338976295 012141 20141231 0.0034658358 -0.001447478 012141 20150331 -0.002661945 -0.113894517 012141 20150630 -0.023081782 0.11049779 012141 20150930 0.0229078022 0.0872105183 012141 20151231 0.0002638288 0.204585892 012141 20160331 -0.002903418 -0.039893154 012141 20160630 -0.001586843 -0.090012729 012141 20160930 0.0056762626 0.0723214928 012141 20161231 0.0012491095 0.0365159269 012141 20170331 -0.001535477 0.033560407 012141 20170630 0.0048615462 0.0584440048 012141 20170930 -0.002596238 0.0345231002 012141 20171231 -0.019539189 0.1052017727 012141 20180331 0.0195564312 0.0792267377 012141 20180630 0.0019140615 0.0157609209 ;;;;

vl12 · ‎09-12-2018

thanks. will make a new post

vl12 · ‎09-12-2018

Hi PG, yes. This would work. This code restrict the regression to be run on each gvkey datadate pair to 8 observations,which is what I ask for. If I'd like to use all the observations in prior quarters but require at least 8 obs for a given gvkey and datadate, how can I do it? So some regression will have 8 obs, some will have 9 or more. And can you output the number of obs used in the regression as well? Thank you so much!

vl12 · ‎09-12-2018

thanks again. However the code won't work for me as it's only for one company ibm and has an exact beginning and ending dates. My sample companies have different beginning and ending dates. PG's code works just that I need to back fill the missing quarter with previous quarter. If this can be solved in his original code, that would solve my problem. Thank you so much for trying to help!

vl12 · ‎09-12-2018

Thank you, Reesa! but I am not sure how

vl12 · ‎09-12-2018

Thank you so much, PG, for continued help! for datadate=20120330, the regression should involve the following colored observations. Which means that I would go back to replace the missing obs by going back further to get 8 quarters. How would this to be done? datadate qtrdate qtr 20091231 20120330 -8 20100331 20120330 -7 20100630 20120330 -6 20100930 20120330 -5 20101231 20120330 -4 20110331 20120330 -3 20110630 20120330 -2 20110930 20120330 . 20111231 20120330 -1 20120330 20120330 0

vl12 · ‎09-12-2018

Thank you so much PGStats! How do I require each regression to have at 8 quarter observations? is the code written this way now: datadate qtrdate qtr 20100331 20120330 -8 20100630 20120330 -7 20100930 20120330 -6 20101231 20120330 -5 20110331 20120330 -4 20110630 20120330 -3 20110930 20120330 -2 20111231 20120330 -1 20120330 20120330 0 if for example 20110930 is missing, then it goes back to get another 8 quarter of data? so it would look like this? datadate qtrdate qtr 20091231 20120330 -8 20100331 20120330 -7 20100630 20120330 -6 20100930 20120330 -5 20101231 20120330 -4 20110331 20120330 -3 20110630 20120330 -2 20110930 20120330 . 20111231 20120330 -1 20120330 20120330 0

vl12 · ‎09-11-2018

Thank you! Now i can copy and paste my sample data. data WORK.ERCTEST; infile datalines dsd truncover; input gvkey:$6. datadate:YYMMDDN8. ue:32. car:32.; format datadate YYMMDDN8.; label gvkey="Global Company Key" datadate="Data Date"; datalines; 001690 20070331 . . 001690 20070630 0.0004525206 0.4670161755 001690 20070930 0.0006423839 0.2271965327 001690 20071231 0.0038899365 0.0535349058 001690 20080331 -0.004237645 -0.04493543 001690 20080630 0.0001820518 0.1184123378 001690 20080930 0.0006338696 -0.242361881 001690 20081231 0.0147242809 -0.06718815 001690 20090331 -0.006772771 0.4468636412 001690 20090630 0.0016303555 0.0926635129 001690 20090930 0.0042211539 0.0569200846 001690 20091231 0.0044297225 0.0694110274 001690 20100331 -0.001422126 0.1062908265 001690 20100630 0.0007790463 0.1138357995 001690 20100930 0.0040591522 0.1280910542 001690 20101231 0.0057087261 -0.024709269 001690 20110331 -0.000052753 -0.053340722 001690 20110630 0.0042457609 0.1448117306 001690 20110930 -0.001933107 0.2521745565 001690 20111231 0.0170601425 -0.080865297 001690 20120331 -0.002572389 0.2810152156 001690 20120630 -0.005111778 0.0876576022 001690 20120930 -0.000959221 -0.032848439 001690 20121231 0.0097159076 -0.22854538 001690 20130331 -0.008485084 -0.223406274 001690 20130630 -0.007348195 -0.014162502 001690 20130930 0.0014275724 0.1887835903 001690 20131231 0.0111048837 0.0384054444 001690 20140331 -0.00615956 -0.078924939 001690 20140630 -0.004446851 0.1953453542 001690 20140930 0.0012165497 0.1066788925 001690 20141231 0.0148603652 0.0470219108 001690 20150331 -0.006213387 0.1303489251 001690 20150630 -0.004041365 0.0175582589 001690 20150930 0.0007264318 -0.071783252 001690 20151231 0.012400347 -0.069109732 001690 20160331 -0.013138595 -0.071681597 001690 20160630 -0.005275545 -0.119072014 001690 20160930 0.0020190515 0.2109433449 001690 20161231 0.0145839438 -0.026547759 001690 20170331 -0.009175424 0.1675285819 001690 20170630 -0.003105223 0.0070201798 001690 20170930 0.0025276878 0.0806324686 001690 20171231 0.010873663 -0.077033442 001690 20180331 -0.007527275 0.0769450604 001690 20180630 -0.002568958 0.1174891488 012141 20070331 . . 012141 20070630 -0.006840826 0.039301915 012141 20070930 0.0045501006 0.0791492442 012141 20071231 0.00125861 0.2159948102 012141 20080331 -0.001207337 -0.091396305 012141 20080630 -0.000361478 -0.013992142 012141 20080930 0.0003172004 0.2467016235 012141 20081231 -0.001151606 -0.171371867 012141 20090331 -0.00732306 -0.058326322 012141 20090630 0.0003211438 0.1484024492 012141 20090930 0.0023109721 -0.000563749 012141 20091231 0.0114983925 0.1113820094 012141 20100331 -0.010350052 -0.038707234 012141 20100630 0.0025670507 -0.094669369 012141 20100930 0.0042540329 -0.06558027 012141 20101231 0.005218999 0.0450195831 012141 20110331 -0.006549471 -0.113316172 012141 20110630 0.0029479832 0.0599936985 012141 20110930 -0.000649708 0.1114515078 012141 20111231 0.0040717526 -0.048890014 012141 20120331 -0.005595293 0.0330296286 012141 20120630 -0.021843021 -0.007530868 012141 20120930 0.0197814607 -0.068648255 012141 20121231 0.0085439504 -0.105270689 012141 20130331 -0.001348278 0.0355996234 012141 20130630 -0.00378879 0.1366469038 012141 20130930 0.0010044828 -0.111795675 012141 20131231 0.0042318432 -0.009889401 012141 20140331 -0.002652274 0.0791397488 012141 20140630 -0.003050357 0.066885466 012141 20140930 -0.000188136 0.0338976295 012141 20141231 0.0034658358 -0.001447478 012141 20150331 -0.002661945 -0.113894517 012141 20150630 -0.023081782 0.11049779 012141 20150930 0.0229078022 0.0872105183 012141 20151231 0.0002638288 0.204585892 012141 20160331 -0.002903418 -0.039893154 012141 20160630 -0.001586843 -0.090012729 012141 20160930 0.0056762626 0.0723214928 012141 20161231 0.0012491095 0.0365159269 012141 20170331 -0.001535477 0.033560407 012141 20170630 0.0048615462 0.0584440048 012141 20170930 -0.002596238 0.0345231002 012141 20171231 -0.019539189 0.1052017727 012141 20180331 0.0195564312 0.0792267377 012141 20180630 0.0019140615 0.0157609209 ;;;; my code is:But this code does not do what I want. What I want would for each observation, run regression for each gvkey for prior 8 datadate periods My code is data erc; set data.erctest; proc sort data=erc nodupkey; by gvkey datadate; proc reg data=erc outest=cfsde adjrsq noprint; model car= ue; by gvkey; output out=varone r=residone;

vl12 · ‎09-11-2018

Thank you for your reply. I downloaded the zip file, run it, got a file which however is zipped and can't be opened. are there another way to post a sample of dataset?

vl12 · ‎09-11-2018

I just have the simple regression code. However, this is not what. I would need the regression run on prior 8 observation for current observation. HOpe I explained clearly. thanks! data erc; set data.erctest1; proc sort data=erc nodupkey; by gvkey; proc reg data=erc outest=cfsde adjrsq noprint; model car= ue; by gvkey; output out=varone r=residone;

vl12 · ‎09-11-2018

tried the data2datastep macro to post my dataset but did not work. I generated a zip file that can't be openned.

vl12 · ‎09-11-2018

I need to run CAR=UE for every prior 8 quarters and output R^2 and coefficients. Can anyone help?

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