SAS:每日值的滚动窗口回归

Question

我每天都需要滚动回归输出。数据集是股票返回和音量，模型仅返回=音量。我需要过去30天的回归系数，每天再进一步，以使30天的窗口保持完整。

Answer 1

基于我了解的问题，您想回顾一个巨大的数据集，每个月都要运行模型。这是我最近做过的类似的事情。

/*Select the parts of the data from base data based on input.*/
%macro model_by_dates(id, date1, date2);
    data to_model;
        set begin(where=( &date1. < date_var < &date2.));
    run;
   /*YOUR model code here*/
    data result_file; 
        set From_model; 
        id=&id; /*To recognize from which model this is from.*/
    run;
    /*If you have huge files, do permanent data after every 10 loops or so. Depends.*/
    proc append base=all_Results data=result_file force; run;
%mend model_by_dates;
/*here we create the dates list. You can do this in multiple ways. Datdiff maybe?*/
%let maxmonths=3;
data dates;
    do i=0 to &maxmonths. by 1;
        begin=date()-(i*30);
        end = date()-( (i+1)*30);
        output;
    end;
run;

/*This is the master switch. It executes the macro for each row of the dates.*/
data _NULL_;
    set dates;
    call execute('%nrstr(%model_by_dates('
            ||strip(id)||','
            ||strip(begin)||','
            ||strip(end)||
    '))');
run;

编辑基于进一步的澄清，我正在更改日期列表的创建：

data dates;
    do i=0 to 30 by 1;
        begin=date()-(i+30);
        end = date()- i ;
        output;
    end;
run;