Hello all, I'm relatively new here and this is my first post on SAS forum. Hope I can get the help I need! I'm doing a research project on index returns. I have daily data for a period of over 40 years. However, I do not have returns for Saturday and Sunday or any other holidays when stock market would be closed. I'm trying to convert this daily data into monthly using PROC EXPAND procedure. Here is my analysis: - I used PROC EXPAND and found sum of the returns for each month. Subsequently, I calculated the same using excel (using pivot table). I found the results to be different. Is there any reason why this would happen? - My data starts from January of 1973 until May 2014. When I used PROC EXPAND with missing values for Saturdays and Sundays, the resultant output didn't have any return value for January of 1973. So I tried to set all missing values to zero and voila, sum of return for January 1973 appeared. Is this a right approach? proc expand data=lib.dly_1 from=day to=month; convert dly_ret\observed=total; id date; by yr; run; - And also, I need to find Standard deviation for each month once converted from daily return using PROC EXPAND. Can I do this by moving standard deviation? Is there a way to do this using PROC EXPAND or any other procedure or way? Appreciate your help! Thanks in advance! Karthik
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