More often than not, we encounter a problem where an OLS over a rolling time window is required, see [1], [2], [3], [4], [5], [6], [7], for a few examples.
One solution is to resort to SAS MACRO, but it is extremely inefficient and can’t handle lar…
Rolling Regression of Time Series
proc datasets library=work kill; run;
options fullstimer;
data test;
do seq=1 to 500000;
x1=rannor(9347957);
*x2=rannor(876769)+0.1*x1;
epsilon=rannor(938647)*0.5;
y = 1.5 + 0.5*x1 +epsilon;
o…
Rolling Regression of Time Series
proc datasets library=work kill; run;
options fullstimer;
data test;
do seq=1 to 500000;
x1=rannor(9347957);
*x2=rannor(876769)+0.1*x1;
epsilon=rannor(938647)*0.5;
y = 1.5 + 0.5*x1 +epsilon;
o…
Coding, GUIs and Statistical Rituals
I was recently inspired to comment on this blog post, asking is R is a cure for ‘mindless statistics’. Anyone whose familiar with statistics used in applied fields like epidemiology, sociology, social sciences generally will be familiar with the idea of a ‘statistical ritual’. Rather than think about the proper statistical approach to every question, […]
First One In Gets the Win
Yikes, it’s been a while since the last update! So I will try to keep this one short and useful. Most everybody knows there are essentially two ways for tables to be merged in SAS: using the merge statement in the data step and using a join in SQL. …
First One In Gets the Win
Yikes, it’s been a while since the last update! So I will try to keep this one short and useful. Most everybody knows there are essentially two ways for tables to be merged in SAS: using the merge statement in the data step and using a join in SQL. …