Hi SAS community, This is my very first post to this forum, I hope I can ask my question while abiding by the forum rules. I have an unbalanced panel data set of daily security log returns. This data set is constructed by merging two data sets: security return data (firm id is gvkey) and another data set containing firm-specific information (firm id is gvkey+iid). Each observation has two dates (date and date2) together with a dummy variable and I'd like to calculate the cumulative log returns between these two dates for those having dummy=1. I'd also like to note that the data is not uniquely defined in the gvkey-date pair since the data set containing firm characteristics has a more disaggregated firm id definition (gvkey+iid). Below, I included a screenshot of the part of my data set: What I want to do is to calculate the cumulative returns between date and date2 only for row numbers 301, 302, and 310 (where dummy=1). Below screenshot displays what I am trying to get in the end: Just to make it clearer, the cumulative return for row 310 is calculated as the sum of log-returns shown within red rectangles (or, the sum of single daily log returns from 12/21/2010 to 12/31/2010). Of course, this is just a sample data set, the original data has millions of observations with multiple gvkeys and a larger time frame. I have some experience with SAS but I couldn't think a clever way to tackle this specific problem. I'd appreciate your help!
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