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| 文件名: 3.2in.zip | |
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求大神指点,刚学金融计量学和SAS,下面代码是按照书上内容打出来的,但下面出错
求大神帮忙修改运行不出部分 libname CAPM 'D:\SAS\3.2in'; data capm.riraw; infile 'D:\SAS\fe\Chap3-2-1 BJS.csv' delimiter = ' , ' MISSOVER DSD lrecl=5000; input date r1-r25 rf rm; run;/*导入原始数据——收益率*/ data capm.rida; infile 'D:\SAS\3.2in\Chap3-2-1 date.csv' delimiter = ' , ' MISSOVER DSD lrecl=5000; input date date1; run;/*从capm.riraw中读取date ri rf rm code,其中code取1-25,用来提取r1-r25分别放入不同的数据集中*/ %macro mac; %do i=1 %to 25; data capm.ri&i.; set capm.riraw; code=&i.; ri=r&i.; keep date ri rf rm code; run; %End; %MEND mac; %mac; data capm.ri; set capm.ri1 capm.ri2 capm.ri3 capm.ri4 capm.ri5 capm.ri6 capm.ri7 capm.ri8 capm.ri9 capm.ri10 capm.ri11 capm.ri12 capm.ri13 capm.ri14 capm.ri15 capm.ri16 capm.ri17 capm.ri18 capm.ri19 capm.ri20 capm.ri21 capm.ri22 capm.ri23 capm.ri24 capm.ri25; run; proc sort data=capm.ri; by date; run; proc sort data=capm.rida; by date;run; data capm.riraw1; merge capm.ri capm.rida; by date; rif=ri-rf;rmf=rm-rf; run; proc sort data=capm.riraw1; by code;run; %macro mac; %do i=1 %to 30; data capm.t&i.; set capm.riraw1; if date1>=&i. and date1<=35+&i.; rif=ri-rf;rmf=rm-rf; run; %End; %MEND mac; %mac; /*以上可运行出来,下面运行出来出错*/ %macro mac; %do i=1 %to 30; datacapm.t&i.; setcapm.riraw1; ifdate1>=&i. and date1<=35+&i.; rif=ri-rf;rmf=rm-rf; run; %End; %MEND mac; %mac;
%macro mac; %do i=1 %to 30; datacapm.t&i.; setcapm.riraw1; ifdate1>=&i. and date1<=35+&i.; rif=ri-rf; rmf=rm-rf; run; proc reg data=capm.t&i.; outest=capm.beta_&i.; by code; model rif=rmf; run;
proc rank data=capm.beta_&i. out=capm.beta&i.groups=5; ranks p =input(rmf,grpfmt.); var rmf; run; %End; %MEND mac; %mac; %macro mac; %do i=1 %to 30; data capm.beta&i.; set capm.beta&i.; date1=&i.+36; keep code date1p; run; %End; %MEND mac; %mac;
data capm.cop; set capm.beta1; run; %macro mac; %do i=1 %to 30; data capm.cop; merge capm.copcapm.beta&i.; by code date1; run; %End; %MEND mac; %mac;
data capm.riraw2; set capm.riraw1; if date1>=37 and date1<=66; run;
proc sort data=capm.riraw2; by code;run; proc sort data=capm.riraw2; by date1;run; proc sort data=capm.cop; by code;run; proc sort data=capm.cop; by date1;run;
data capm.cop2; merge capm.cop capm.riraw2; by date1 code; keep code date1 ri rm rf p; run;
proc sort data=capm.cop2; by p date1;run; proc univariate data=capm.cop2 var ri rm rf; by p datel; output out=capm.rip mean=meanri mean=meanrmmean=meanrf; run;
data capm.rip1; set capm.rip; meanrif=meanri-meanrf; meanrmf=meanrm-meanrf; run; proc sort data=capm.rip1 ; by p;run; proc reg data=capm.rip1 outest=capm.beta; model meanrif=meanrmf; by p; run; proc univariate data=capm.rip1; var meanri; by p; output out=capm.rip2 mean=meanrip; run; data capm.beta0; merge capm.beta capm.rip2; by p; run; proc reg data=capm.beta0; model meanrip=meanrmf; run; |
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