SAS: Rolling window regressions for daily values [closed] - sas

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I need rolling regression outputs on a daily basis. The dataset are stock returns and volume and the model is only return=volume.
I need the regression coefficient for the past 30 days, each day one day further such that the 30-day window stays intact.

Answer 1

Based on the question I understood that you want to run model for every month for a huge data set retrospectively. Here is something similar that I've done recently.
/*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;
EDIT Based on further clarification I'm changing the date list creation:
data dates;
do i=0 to 30 by 1;
begin=date()-(i+30);
end = date()- i ;
output;
end;
run;