About OceanDream

OceanDream · ‎06-29-2018

My school only provides 9.3 version of SAS. If it is not too much to ask, could you share me with the results from running PROC MODEL using your 9.4 version? I replaced solve with nlp / ms; with solve; using PROC OPTMODEL, but the values for T seem reasonable, but most values for delta are one, which is not reasonable...

OceanDream · ‎06-28-2018

Hi Rob, Thank you so much for you response. I did not get all values of 1.01 for T, but most of them are, which is still problematic. Did you get different values for each observations or the variation is not that much? I think my SAS version is 9.3.. I do not expect the solutions are always with zero error. I only need to bound T greater than one, nothing else. I have been running the code PROC OPTMODEL that you wrote for hours and it is still running. Is that what also happens to you?

OceanDream · ‎06-27-2018

Thanks for checking it, Rob! No. For my question, beta is not needed. Did you find anything wrong with my data or the code?

OceanDream · ‎06-25-2018

Hi Rob, Please see attached dataset. Thanks again for your help!

OceanDream · ‎06-25-2018

Hi Rob, Thank you for your reply. Attached is my data. I could not attach my file to the reply. It says " the contents of the attachment doesn't match its file type". Do you know what is wrong? If you don't mind, I can email you my data. Thank you so much for your help!! "proc model data=bl.decomp5 noprint out=decomp6; endo delta T; bounds T>0.1; eq.one = (1-PD) - (probnorm((-log(PD)-(s - 0.5*(delta*delta))*T)/(delta*sqrt(T))) -PD*exp(s*T)* probnorm((-log(PD)-(s - 0.5*(delta*delta))*T)/(delta*sqrt(T))- delta*sqrt(T))); eq.two = delta_E*(1-PD) - delta*probnorm((-log(PD)-(s - 0.5*(delta*delta))*T)/(delta*sqrt(T))); solve delta T /optimize solveprint ; id gvkey dealactivedate facilityid pd s delta_e beta; run;"

OceanDream · ‎06-25-2018

I am using the following code to solve two unknown variables (T and delta) with two equations. If I do not use "bounds t>1" AND "optimize" option, it gives me value of T close to zero to all the observations. However, if I add these two codes, the results for all observations are 1.01 for T. I checked proc model code with simple quadratic equation to get only negative results. It worked fine. Anyone could please help me? What is wrong with my current code for this more complex equations??? I am in urgent need to solve this. Please help!!! Additional information: I got the following information when running the code. It seems that the code did not even iterate once to solve the equations and gave error of zero?? That does not seem right. NOTE: Optimal. NOTE: Objective = 0.4636390687. NOTE: The NLP solver is called. NOTE: The Interior Point algorithm is used. Objective Optimality Iter Value Infeasibility Error 0 0.49897143 0 0 "proc model data=HAVE noprint out=NEED; bounds t>1; eq.one = (1-PD) - (probnorm((-log(PD)-(s - 0.5*(delta*delta))*T)/(delta*sqrt(T))) -PD*exp(s*T)* probnorm((-log(PD)-(s - 0.5*(delta*delta))*T)/(delta*sqrt(T))- delta*sqrt(T))); eq.two = delta_E*(1-PD) - delta*probnorm((-log(PD)-(s - 0.5*(delta*delta))*T)/(delta*sqrt(T))); solve delta T /optimize solveprint ; id companyid date pd s delta_e; run;"

OceanDream · ‎06-22-2018

I am trying to solve two unknown variables with two equations (something similar to Black Scholes model). I constrain the value of T no less than one. However, when I run the code, the values given for T are close to zero for all observations. Anyone could tell me what is wrong with my code??? Much appreciated. /*proc model data=HAVE noprint out=WANT; eq.one = (1-PD) - (CDF('NORMAL', (-log(PD)-(s - (delta*delta)/2)*T)/(delta*sqrt(T))) -PD*exp(s*T)* CDF('NORMAL', (-log(PD)-(s - (delta*delta)/2)*T)/(delta*sqrt(T))- delta*sqrt(T))); eq.two = delta_E*(1-PD) - delta*CDF('NORMAL', (-log(PD)-(s - (delta*delta)/2)*T)/(delta*sqrt(T))); bounds t>=1; solve delta T /solveprint ; id companyid date pd s delta_e; run;*/

OceanDream · ‎06-21-2018

Hi ballardw, in terms of model options, do you know anyway that I can constrain unknown variable to certain range? Thanks for your reply.

OceanDream · ‎06-21-2018

Additional details: I input the results for delta and T back into these two equations. The outcome is not exactly zero. Could anyone help me with this? Thank you in advance!

OceanDream · ‎06-21-2018

Hi ballardw, Thanks for your comment. My follow-up question is if I need to set initial values for delta and T for SAS for the calculation. Is the code the correct way for calculation two unknown variables in two equations? I saw someone posted (see the link below) somewhat similar calculation using loop. For my calculation, do I need to use loop? http://www-personal.umich.edu/~shumway/papers.dir/nuiter99_print.sas

OceanDream · ‎06-21-2018

I am using PROC MODEL function to solve two unknown variables (delta and T) in two nonlinear equations (shown below). The results I got do not seem right in that values of T for so many observations are same and extremely small (close to zero). Could anyone help me and see what is wrong in my code? /*proc model data=USE noprint out=WANT; eq.one = PROBNORM((-log(PD)-(s - (delta*delta)/2)*T)/(delta*sqrt(T))) -(PD*exp(s*T)* PROBNORM((-log(PD)-(s - (delta*delta)/2)*T)/(delta*sqrt(T))- delta*sqrt(T))) -(1-PD); eq.two = delta*PROBNORM((-log(PD)-(s - (delta*delta)/2)*T)/(delta*sqrt(T)))-delta_E*(1-PD); solve delta T /solveprint; id firmid date pd s delta_e; run;*/

OceanDream · ‎05-01-2016

stat_sas, what I need is Y=lag(Y)*0.75+x/2, not y=lag(x)*0.75+x/2. That's my problem 😞

OceanDream · ‎05-01-2016

Chris, Thank you for your reply. I changed my title. It was automatically filled in by sas when I typed my title. My question is not only a LAG function question. I think it's more of a LOOP function question, but I don't know how to use it, since the lagged variable I need to use to construct my new variable also need to be constructed the same way, because it's the same new variable, if this makes sense. Regards, Haimeng

OceanDream · ‎05-01-2016

Hi guys, I'm trying to calculate a new variable WANT(n), based on the previous observation's variable WANT(n-1). For example, if n=1, WANT=HAVE/2; else if n>1 then WANT(n)=WANT(n-1)*0.75+HAVE/2; I have no idea which code to start. Could anyone give me some idea? Thanks in advance.

OceanDream · ‎04-18-2016

I'm trying to use proc x12 to adjust seasonality. I use the following code. My data is quarterly. proc x12 data=HAVE date=yyqq interval=4 noprint; by company_id; var assets; x11 mode=add outforecast; output out=WANT; run; There is error showing "Time ID variable DATADATE contains gaps." This is because some of my observations ended the third quarter of the year instead of the fourth quarter of the year. Is there any way to fix this?? Also, those firms with adjusted assets results have the exact same values of adjusted assets with unadjusted assets. Is this because none of the firm in my data has seasonality pattern in terms of assets OR there is some mistake in my coding? Please help.

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