Calculating rolling correlations in SAS

Question

I have a data set here.

An excerpt of my data looks like this: (For an enlarged version: http://puu.sh/79NCK.jpg)

Answer 1

Think about how you might do if you had immense amount of patience.

proc corr data = mm.rolling out = correlation_as_of_01jan2008;
where date between '01jan2007'd and '01jan2008'd;
run;

Similarly,

proc corr data = mm.rolling out = correlation_as_of_02jan2008;
where date between '02jan2007'd and '02jan2008'd;
run;

Thankfully you can use SAS macro programming to achieve a similar effect as shown in this macro:

%macro rollingCorrelations(inputDataset=, refDate=);
/*first get a list of unique dates on or after the reference date*/
proc freq data = &inputDataset. noprint;
where date >="&refDate."d;
table date/out = dates(keep = date);
run;


/*for each date calculate what the window range is, here using a year's length*/
data dateRanges(drop = date);
set dates end = endOfFile 
                nobs= numDates;
format toDate fromDate date9.;

toDate=date;
fromDate = intnx('year', toDate, -1, 's');

call symputx(compress("toDate"!!_n_), put(toDate,date9.));
call symputx(compress("fromDate"!!_n_), put(fromDate, date9.) );

/*find how many times(numberOfWindows) we need to iterate through*/
if endOfFile then do;
call symputx("numberOfWindows", numDates);
end;

run;
%do i = 1 %to &numberOfWindows.;
/*create a temporary view which has the filtered data that is passed to PROC CORR*/
data windowedDataview / view = windowedDataview;
set  &inputDataset.;
where date between "&&fromDate&i."d and "&&toDate&i."d;
drop date;
run;
    /*the output dataset from each PROC CORR run will be 
correlation_DDMMMYYY<from date>_DDMMMYY<start date>*/
proc corr data = windowedDataview 
outp = correlations_&&fromDate&i.._&&toDate&i. (where=(_type_ = 'CORR'))

        noprint;
run;

%end;

/*append all datasets into a single table*/
data all_correlations;
format from to date9.;
set correlations_:
     indsname = datasetname
;
from = input(substr(datasetname,19,9),date9.);
to = input(substr(datasetname,29,9), date9.);
run;


%mend rollingCorrelations;
%rollingCorrelations(inputDataset=rolling, refDate=01JAN2008)

The final output from the above macro will have from & to identifier to identify which date range each correlation matrix refers. Run it and examine the results.

I dont think excel can accomodate over 1500 tabs anyway, so best to keep it in a single table. The final table had 81K rows and the whole process ran in 2.5 mins.

update: to sort them by from & to

proc sort data = ALL_CORRELATIONS;
by from to;
run;