Showing posts with label SAS. Show all posts
Showing posts with label SAS. Show all posts

SAS : how to set combined group code and concatenated group name

This post shows a SAS code to set 1) combined group number and code and 2) concatenated group name for group-by estimations.

SAS : Repeated Estimation of Stepwise Regressions by Group

This post presents a SAS code for estimating regression models by group with a stepwise variable selection.

SAS : Repeated Estimation of Regressions by Group

This post presents a SAS code for estimating regression models by group. The number of group is not small that multiple estimation using a do-loop is convenient. In this process, each regression model name is set to each group name.

SAS : Filling missing values with the previous value

This post presents a SAS code for filling missing values with the previous value. We encounter this case when data frequencies are different such as market rate versus policy rate. The former is daily but the latter is more than monthly.

SAS SQL Macro for concatenating or pivoting vertical time series horizontally

This post presents a SAS macro for concatenating or pivoting vertical time series horizontally. This job is done typically by repeatedly left joining the table on itself. Since this direct approach needs too long SQL command to maintain, one line SAS SQL macro is a good choice.

Tentative Topics (Keeping Track to Avoid Forgetting)

Segmented Nelson-Siegel model
Shifting Endpoints Nelson-Siegel model
Nadaraya-Watson estimator
Locally weighted scatterplot smoothing (LOWESS)
Time-Varying Parameter Vector Autoregressions (TVP-VAR)
Time-varying or Dynamic Copula
Bayesian VAR
Adrian-Crump-Moench (ACM) term premium model
GARCH-EVT-Copula approach