请教sas做滚动回归的问题

至少给点数据吧

fisheryou 发表于 2012-3-5 12:41
至少给点数据吧

您好，已经上传了一些数据，麻烦您看能不能做不出，谢谢

fisheryou 发表于 2012-3-5 12:41
至少给点数据吧

您好，我上传了一些数据，麻烦您看能不能做，谢谢

自己再顶一下

要5000论坛币

kakamei 发表于 2012-3-12 17:10
要5000论坛币

不好意思问题已经解决了！！！！！你的要价太高我们付不起~~~~~~

顶起

I don't have SAS on my computer, but this is a sketch, using macro loop.

*Merge Data and create month sequence;
proc sort data=stock; by trdmnt;
proc sort data=otherVariables; by trdmnt;
data data;
    merge stock otherVariables; by trdmnt;
    year = floor(trdmnt/100);
    month = trdmnt - year*100;
    mseq = (year-2005)*12 + month;
    rirf = ri - rf;
run;

%macro loopit;
* create a base table for saving results;
data _tmp_; set data(where=(stkcd='000001'));
proc reg data=_temp_ outest=outest noprint;
by stkcd;
model rirf = tx1 tx2 tx3;
run;
data outest; set outest(obs=0); mseq=.; run;

* find the first and last month sequence;
proc sql;
select min(mseq), max(mseq) into :minm, :maxm;
%put &minm &maxm;

%do mseq0 = &minm+36 %to &maxm %by 1;
data _temp_; set data(where=(&mseq0-35 <= mseq <= &mseq0));
proc sort data=_temp_; by stkcd;
proc reg data=_temp_ outest=outest0 noprint;
by stkcd;
model rirf = tx1 tx2 tx3;
run;
data outest0;  set outest0; mseq=&mseq0;
proc append data=outest0 base=outest; run;
%end;
%mend;
%loopit;

thx for sharing

可以参照这篇文章
http://www.nesug.org/proceedings/nesug07/sa/sa04.pdf