Haas MFE SAS Workshop

Transcription

1 Haas MFE SAS Workshop Lecture 4: Macros and Econometrics Alex Vedrashko For sample code and these slides, see Peng Liu s page

2 Plan Arrays; DO, UNTIL loops Lag function Macros Econometrics Made Easy April 2006, Haas MFE Alex Vedrashko & Peng Liu 2

3 DO loop Example: The input data is a line of four quarters of earnings for 100 firms. Read the data, indexing each observation by quarter. data earnings; input ticker do quarter=1 to 4; input output; end; Datalines; ibm msft ; run; Other examples: do state='ca','or';... end; do weekdays=1,3,5;... end; Output: Obs ticker quarter earn 1 ibm ibm ibm ibm msft msft msft msft April 2006, Haas MFE Alex Vedrashko & Peng Liu 3

4 DO UNTIL, WHILE Loops DO - UNTIL flag=0; do i=1 to 10 until(flag);...sas statements... if expression then flag=1; end; DO WHILE do i=10 to 0 by -1 while(month='jan');...sas statements... end; DO WHILE n=0; do while(n<5); n+1; end; April 2006, Haas MFE Alex Vedrashko & Peng Liu 4

5 Variable Arrays Arrays are used mainly to group variables Useful for performing the same calculations on a group of variables or searching through a set of variables. For example, your balance sheet data variables d_1 d_150 are in millions, and you need to make them in 100s of millions. Arrays defined using the ARRAY statement in a DATA step Syntax: ARRAY name (n) variable_list; ARRAY all_vars var1-var10; n is the number of elements in the array and is optional The variable list is also optional but either n or the variable list must be specified The variable list can contain variables that have not yet been created option for initializing variable values A $ should precede a variable list of character variables April 2006, Haas MFE Alex Vedrashko & Peng Liu 5

6 Arrays (cont.) In the calculation section of a DATA step the array can be referenced by name(i) where i is the position of the element you wish to refer to Since parenthesis are also used in functions it is not a good idea to give your array the same name as a SAS function Example. DATA d1; input var1-var10; ARRAY all_vars var1-var10; DO i = 1 to 10; all_vars(i) = i/100; END; RUN; April 2006, Haas MFE Alex Vedrashko & Peng Liu 6

7 LAG Function In general SAS data loop is not convenient about directly accessing observations, e.g. for particular dates. If you want to do serious time series analysis you should use the procedures in the SAS/ETS package The lag function is used to reference previous values of a variable newvar = LAG (variable); or newvar = LAGn (variable); Where n refers to the number of observations to go back, e.g. LAG12(). Example. Calculate returns from prices plag1 = LAG(price); return = (p plag1) / plag1; If we are in observation 100, for example, this statement will assign the price from observation 98 to the variable plag1 in observation 100. Similarly the value of plag1 in observation 98 will be the value of price in observation 96. April 2006, Haas MFE Alex Vedrashko & Peng Liu 7

8 LAG Function (contd.) Differencing with DIF( ) Lags are tricky to use because of the built-in loop. Sometimes the lag value is not available (missing). Hint: Use separate data steps to create lags and levels. When your data is sorted BY a variable, for example, you have stock prices sorted: BY cusip date. Then LAG(price) may refer to the previous company s price. Hint2: Do manual checks (proc print) to prevent nonsensical lags when dealing with panel data. Do not use the LAG function in a loop DIFn() is similar to LAGn(). DIF(price); is the same as price-lag(price); ; April 2006, Haas MFE Alex Vedrashko & Peng Liu 8

9 Controlling the Built-in Data Loop: RETAIN Statement The built-in loop stores the data for a given observation for the current run of the DATA step When the loop reaches the end of the DATA step and returns to the top to read for the next observation all values are reset to missing To force the built-in loop to keep values from previous observations use the RETAIN statement: RETAIN variable-list; The values of the variables specified in the RETAIN statement will keep their values until they are reset by an INPUT or SET or assignment statement. April 2006, Haas MFE Alex Vedrashko & Peng Liu 9

10 RETAIN: examples Example1: Calculate the highest mortgage balance to date for each date; use max() function. proc sort data=loan1; by origination; data d1; set loan1; retain maxbal; maxbal=max(maxbal, balance); Example2: Replicating the LAG(price) function with RETAIN. data p1; input price p1=pdummy; pdummy=price; retain pdummy; run; April 2006, Haas MFE Alex Vedrashko & Peng Liu 10

11 Controlling the Built-in Data Loop: SUM statement A special case is a plus sign in an assignment that does not have an equal sign, e.g. cumulativesum + newvar; This sum implicitly retains the previous value of newvar and adds it to cumsum. Example. Calculate the growth of the total appraised value of houses in the dataset to date, i.e. rolling sum. proc sort data=loan1; by origination; data d1; set loan1; totalvalue + appraisal; run; This is equivalent to data d1; set loan1; retain totalvalue 0; /*initialize to 0*/ totalvalue =sum(totalvalue, appraisal); April 2006, Haas MFE Alex Vedrashko & Peng Liu 11

12 Macros Macro variables can be used anywhere inside the Data / Proc steps. Macro functions can contain many Data / Proc steps Benefits Use a piece of code over and over Make your code reusable. Make execution of your programs data driven A great intro to writing macros: April 2006, Haas MFE Alex Vedrashko & Peng Liu 12

13 Macro Variables Define a macro variable with %LET %LET macro_var_name = value; %LET ticker = IBM; value does not require quotes even if there are spaces %LET can be specified anywhere in your program Macro variables are always character constants This is true even if they represent a numeric Do not belong to a data set Using macro variables: its name preceded by an &. E.g., open IBM file: data d&ticker; set mylib.&ticker; When SAS encounters a macro variable, the processor replaces it with the current value of the macro variable In strings, the processor will not look for macro variables inside single quotes so use double quotes when necessary, e.g. infile "&ticker..txt"; April 2006, Haas MFE Alex Vedrashko & Peng Liu 13

14 Defining Macro functions Step 1. Make sure your code (Data, Proc) works without macros Step 2. Introduce macros to your code Macro programs act as a wrapper for DATA or PROC step. %MACRO macro_prog_name; Body of macro program: data ; proc ; %MEND macro_prog_name; Execute your macro function by preceding its name with %: %macro_prog_name; You can pass parameters to Macro functions %macro Myfun(x, y); ; %mend; %myfun( 100, CA ); April 2006, Haas MFE Alex Vedrashko & Peng Liu 14

15 Calling Macro functions, %include The simplest thing is to define the macro in the SAS program where it will be used Sometimes it is more useful to define a macro in a separate file so that it can be used in multiple programs %include source-file; %include runs any text in the source file just as if it had been included in the program In this way, you can include a macro that is defined in an external file April 2006, Haas MFE Alex Vedrashko & Peng Liu 15

16 Define Autocall library (to call external macros with %include) If you regularly use user-written SAS macros, it is efficient to store these macros in a separate windows directory The name of the file must be the same as the macro name, e.g. myfunct1.sas must contain myfunct1 macro The autocall directory can contain other files as well Use SASAUTOS= and MAUTOSOURCE options to add your macros directory and have the macro processor search the autocall libraries Sasautos is the location for system macros filename mymacros 'r:\mysas'; options sasautos=(sasautos mymacros) mautosource; April 2006, Haas MFE Alex Vedrashko & Peng Liu 16

17 Advanced manipulations with macros Sometimes you need to use a period to tell SAS where the variable name ends INPUT bond&index.rate; If index is equal to 1 this will resolve to INPUT bond1rate; Periods are not necessary when concatenating to contiguous macro variables; e.g. INPUT &name&index; For advanced macro programming you may want to use CALL SYMPUT currentdate=put(today(), date9.); call symput ('currentdate', currentdate); This statement allows you to assign values to macro variables prior to execution. It is necessary if you want your macros to be data driven April 2006, Haas MFE Alex Vedrashko & Peng Liu 17

18 Macros: Examples Black-Scholes Call option Simulating Black-Scholes option prices Rolling regression April 2006, Haas MFE Alex Vedrashko & Peng Liu 18

19 SAS Procedures. GPLOT Plots scatter plots (in the Graph window) proc gplot; plot fnmret*wkend; format wkbeg date9.; plot mktret*wkend; format wkbeg date9.; symbol1 interpol=join /*or spline */ value=none; /*or dot, triangle, circle, square, star*/ symbol2 i=join v=none; run; April 2006, Haas MFE Alex Vedrashko & Peng Liu 19

20 Financial functions and Econometric Procedures Financial functions. In Help, Contents tab go to SAS Products Base SAS SAS language dictionary Dictionary of language elements Functions and call routines Econometric procs In Help, Contents tab go to SAS Products SAS ETS Procedure Reference Theory on methods and corresponding SAS proc options are in the Details section for each proc. April 2006, Haas MFE Alex Vedrashko & Peng Liu 20

21 Econometrics ARIMA, unit root, cointegration tests: Proc ARIMA GARCH: Proc AUTOREG VAR, ARMAX, unit root, cointegration tests: Proc VARMAX NLS, GLS, Maximum likelihood & derivatives, GMM, 2SLS, 3SLS, SUR, Monte-Carlo bootstraping: Proc Model Kalman filter: Proc Statespace Probit, Logit, etc. with heteroscedasticity, switching regression: Proc QLIM Panel data (time-series cross-sectional data): Proc TSCREG April 2006, Haas MFE Alex Vedrashko & Peng Liu 21

22 Proc VARMAX Description: VARMAX Getting Started - Vector Autoregressive Process VAR(p): proc varmax; model y1 y2 / p=1 noint lagmax=3; run; VAR Examples: VARMAX Examples Numerous Examples April 2006, Haas MFE Alex Vedrashko & Peng Liu 22

23 Proc AUTOREG Use to Test for heteroscedastic error term Run GARCH and similar models (EGARCH, IGARCH, GARCH-M) Description: AUTOREG Getting Started - Heteroscedasticity and GARCH Models Example syntax: proc autoreg; model y = / garch=(p=1,q=1) dist=t; April 2006, Haas MFE Alex Vedrashko & Peng Liu 23

24 Proc MODEL Non-linear LS, Generalized LS (heteroscedasticity tests and correction), Maximum likelihood & derivatives, Generalized Method of Moments, 2Stage LS, 3Stage SLS, Seemingly Unrelated Regressions, Monte-Carlo error term bootstraping Proc model; Parms b0-b100; y= function of x ; fit y / options; Where options can be: GMM, 2SLS, SUR, HCCME= 1 (heteroscedasticity correction); white (heteroscedasticity test); April 2006, Haas MFE Alex Vedrashko & Peng Liu 24