SAS Support Communities

raqthesolid · ‎09-28-2020

Hello Folks, I have a data with Firm, Year, and ROA variables. MY ROA variables ranges from -50% to +50%. I want to create ranges using ROA which looks like Range Percentage less than 0 percentage of firms in this category 0 to1% percentage of firms in this category 2 to 3% percentage of firms in this category 4 to 5% percentage of firms in this category ......50% percentage of firms in this category Data sample: Firm Year ROA PK0000201019 2016 11.70255 PK0000301017 2016 9.428861 PK0000401015 2016 -5.80082 PK0000601010 2016 17.6943 PK0001101010 2016 -8.47214 PK0001301016 2016 20.18228 PK0001901013 2016 11.68819 PK0002001011 2016 13.31986 PK0002101019 2016 2.865007 PK0002201017 2016 9.238791 PK0002301015 2016 19.7908 PK0002501010 2016 1.970355 PK0002701016 2016 64.1466 PK0002901012 2016 12.86187 PK0003001010 2016 -3.51228 PK0003101018 2016 19.38653 PK0003201016 2016 3.417498 PK0003301014 2016 22.99802 PK0003401012 2016 -10.3915 PK0003801013 2016 15.53839 PK0003901011 2016 4.804186 PK0004101017 2016 7.54267 PK0004301013 2016 22.41655 PK0004401011 2016 9.554636 PK0004701014 2016 8.438554 PK0004801012 2016 8.95593 PK0004901010 2016 7.656038 PK0005201014 2016 50.03889 PK0005401010 2016 -14.8514 PK0005501017 2016 8.194166 PK0005701013 2016 25.27504 PK0006001017 2016 3.329774 PK0006101015 2016 5.472684 PK0006801010 2016 10.02528 PK0006901018 2016 9.398788 PK0007101014 2016 29.06179 PK0008101013 2016 5.884868 PK0008201011 2016 18.7473 PK0008401017 2016 14.02341 PK0008501014 2016 7.427927 PK0009201010 2016 21.76193 PK0009401016 2016 -7.2675 PK0009501013 2016 -0.98955 PK0009801017 2016 30.41894 PK0010001011 2016 5.148667 PK0010301015 2016 -2.02785 PK0010501010 2016 14.67657 PK0010901012 2016 12.50834 PK0011001010 2016 6.203303 PK0011101018 2016 16.16196 PK0011201016 2016 22.07683 PK0011301014 2016 33.96201 PK0011501019 2016 -6.85826 PK0011701015 2016 34.67594 PK0012101017 2016 12.91066 PK0012401011 2016 10.27558 PK0012501018 2016 14.37119 PK0013401010 2016 4.465276 PK0014201013 2016 9.261005 PK0014501016 2016 9.95184 Thanks for any help.

raqthesolid · ‎11-28-2017

Hello guys, how to transform this code if i need top30 percentile and bottom30 percentile at the same time. thanks in advance

raqthesolid · ‎11-20-2017

Hello Folks, I have following kind of data; Firm var_A a 1 a 2 a 3 a 4 a 5 b 2 b 1 c 1 i know i can always use "if and then statement" but it will delete only 2,3 and 4. i want to Delete Firm, if the var_A is between 2 to 4. i don't want to delete the only 2-4 but what i want is to delete the all of the Firm if any on the Var_A comes in the range of 2-4. so after that logic only C will remain. all of Firm A and b should delete. I will be thankful for any help. Regards raq

raqthesolid · ‎11-11-2017

I did not do for Amihud (2002) and never saw it on daily as well. You can do it daily if you know some papers who did it. Otherwise other measures like spread, turnover etc might be more suitable on daily basis.

raqthesolid · ‎11-11-2017

Hello dear, you can easily create year, month and day variables from your date. if your date is in sas date formate. year = year(Date); month = month(Date); day = day(Date); i did this because i have to calculated illiquidity on monthly basis from days. additionally i also wanted to see how many days are being used in each month. i require atlease 10 days in a month. sorry for confusion among permno and symbol.. i originally used permno (USA data) and changed it for you. but few were left out. please assume permno, firmid or symbol as firmID . hope this might help. feel free to ask. good day

raqthesolid · ‎11-06-2017

Thank you for your reply. I think i could not through my idea well. I donot have this Event_all column in my data. I want to create this using other three columns. Simple i want to fill the missing values in Event data with the next non-missing value for each firm separately. good day

raqthesolid · ‎11-06-2017

Hello experts, I have three variables in my data set, 1) Date 2) Event date (this is present for few days not all of the data) this variable is missing for majority of data 3) firm ID What i Want: I want to create a new variable "event all" which should have same event date in the previous date. for example, my data start from 1st January 2017. First event occurs on 25 Feb 2017. I want to give "25 Feb 2017' date to all the observation from 1st January 2017 to 25 Feb 2017 in the new variable "event all". In my data, there are multiple event and multiple firms, so i want to deal each firm and its date separately. kindly help me to program this. Regards Data have; Firm date event_date event_all 1 20170101 - 20170401 1 20170201 - 20170401 1 20170301 - 20170401 1 20170401 20170401 20170401 2 20160101 20160301 2 20160201 20160301 2 20160301 20160301 20160301 2 20160401 - - My data has more than 400 firms and about 20 year of data. any help will be appreciated. Thanks in advance

raqthesolid · ‎10-10-2017

Thanks for the reply. i tried the following code to make sure this thing. proc sort data=j out=c NODUPKEY; by gvkey year; run; my first problem has been solved. Regarding second thing there are about 5000 distinct GVKEY. i am usning following codes; proc sort data=j; by gvkey datadate; run; proc panel data=j ; id GVKEY DATADATE; model invest = TQ cfcon /fixtwo pooled; run; now i am getting this issue; ERROR: There is only one cross section or time series observation. Computations will be terminated. any way to solve this thing. your efforts are always appreciated. ABdul

raqthesolid · ‎10-07-2017

I am trying to run proc panel model but having following issues; 1) proc sort data=j; by gvkey datadate; run; proc panel data=j ; id GVKEY DATADATE; model invest = TQ cfcon /fixtwo pooled; run; ERROR: Data set WORK.J is not sorted in ascending sequence with respect to time series ID. The current time period has year=2015 and the previous time period has year=2015 in cross section GVKEY=006506. 2) proc sort data=j; by datadate; run; proc panel data=j ; id GVKEY DATADATE; model invest = TQ cfcon /fixtwo pooled; run; ERROR: There is only one cross section or time series observation. Computations will be terminated. any way to correct these issues. THanks

raqthesolid · ‎09-26-2017

sorry i could not figure out the issue and dropped these fitstatistics=fitresult OutputStatistics=residual; from ods output parameterestimates=pa0 fitstatistics=fitresult OutputStatistics=residual; quit; it worked for me. Abdul

raqthesolid · ‎09-26-2017

Hello there, the following codes worked for me. i hope they will help you too. ***Calculating liquidity from Daily data.; *liquidity calculation following Amihud (2002) conditions; 2) At least 10 trading days in a month 3) Using daily data to calculate monthly Liquidity; data Dailyp; set daily; Trans_month = MDY(MONTH (Date),1, YEAR(Date)); run; proc sort; by trans_month; run; data dailypa (Drop=Vol); set dailyp; prc=abs(prc); if vol <= 0 then delete; *(-99 Volume is used when there are missing values); if prc=. then delete; if vol=. then delete; Dvol=prc*vol; run; **(2) Count "valid" dates per firm, per month. I assumed it means dates where volume > 0.; proc freq data=dailypa; tables symbol * year * month / noprint out=monthly_counts (drop=percent);run; data Monthly_counts1; set monthly_counts;*run; **(at least 10 trading days for each stock in a month; if COUNT<10 then delete; run; data illiquid; set dailypa; if ret=0 then delete; ratio=abs(ret)/Dvol; run; proc sort data=illiquid; by symbol year month; run; proc summary data=illiquid nway; class symbol year month; var ratio; output out=summary_data (keep=symbol year month total_ratio) sum=total_ratio; run; proc sort data=summary_data; by symbol year month; run; proc sort data=monthly_counts1; by symbol year month; run; data illiquidd; merge summary_data monthly_counts1; by symbol year month; if count<5 then delete; run; data mydata.Liquidity(drop=ratio2 total_ratio count symbol); set illiquidd; ratio2=10**6 *total_ratio; *(this is just to show in better form); ILLIQUIDITY=ratio2/COUNT; permno=symbol; run; proc sort; by ILLIQUIDITY; run; proc means; var illiquidity ; run; Good luck. let me know if you stuck anywhere and if my presentation is not very helpful. Regards ABdul

raqthesolid · ‎07-25-2017

Hello friends, i am using follwing type of codes to run fixed effects logistic regressions; proc logistic data=e descending; class SIC / param=ref ; model EI = ROA Size MB FATA DA Time SIC; output out=a pred=yhat; run; or proc logistic data=e descending; strata SIC; model EI = ROA Size MB FATA DA Time; output out=a pred=yhat; run; I want to get Pseudo R-square or R-Square from these. Is ther any commond option i can use to do that or any other way. Thank for any help.\

raqthesolid · ‎07-25-2017

Hello dear Can I get Pseudo R squre using Proc logistic? Thanks for help

raqthesolid · ‎07-25-2017

Hello dear ? Can i get Pseudo R squre or R squre using this regression in SAS? any help will he highly appreciable. THnaks

raqthesolid · ‎06-05-2017

Thank you very much for your cooperation. Someone else suggested helpful article which solved my issue perfectly. Good day

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SAS Support Communities

creating ranges and then percentages

Re: choose top 10 percent data based on one variable

deleting a variable on the basis of another variable

Re: Amihud (2002) Liquidity Measure

Re: Amihud (2002) Liquidity Measure

Re: Ripple of a date

Ripple of a date

Re: Panel regression vs. pooled OLS

Re: Panel regression vs. pooled OLS

Re: SAS Macro issue

Re: Amihud (2002) Liquidity Measure

Re: deleting a variable on the basis of another variable

Re: Proc Logistic

Re: transpose issues

Re: SAS Macro issue

Re: Amihud (2002) Liquidity Measure

Re: Unbalanced panel data: How to chose between fixed effects or rando...

Re: Amihud (2002) Liquidity Measure

transpose issues

creating ranges and then percentages

Re: choose top 10 percent data based on one variable

deleting a variable on the basis of another variable

Re: Amihud (2002) Liquidity Measure

Re: Amihud (2002) Liquidity Measure

Re: Ripple of a date

Ripple of a date

Re: Panel regression vs. pooled OLS

Re: Panel regression vs. pooled OLS

Re: SAS Macro issue

Re: Amihud (2002) Liquidity Measure

Proc Logistic

Re: Fixed effects in Proc Probit

Re: Fixed effects in Proc Probit

Re: Standard Deviation over last 8 periods

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