Date:         Tue, 22 Apr 1997 19:11:35 -0500
Reply-To:     "Robin K. Chou" <rchou@BLUE.WEEG.UIOWA.EDU>
Sender:       "SAS(r) Discussion" <SAS-L@UGA.CC.UGA.EDU>
From:         "Robin K. Chou" <rchou@BLUE.WEEG.UIOWA.EDU>
Organization: The University of Iowa
Subject:      Need help for time series data
Content-Type: TEXT/PLAIN; charset=US-ASCII

Hi everyone,
 
I would like to thank you first for help.
 
I have a huge amount of securities data. For each stock, I have several
variables and each variable is a time series. For example , price series,
return series, volume series ...
It looks like;
 
name    date    price   return  volume
 
IBM     01/94   90      xxx     xxx
IBM     02/94   92      xxx     xxx
IBM     03/94   95      xxx     xxx
IBM     04/94   92      xxx     xxx
IBM     05/94   97      xxx     xxx
IBM     06/94   95      xxx     xxx
IBM     07/94   90      xxx     xxx
.
.
.
IBM     12/94   95      xxx     xxx
MSFT    01/94   120     xxx     xxx
MSFT    02/94   118     xxx     xxx
.
.
.
 
Now, my question is that I would like to compare the price of IBM on 06/94
to the price of IBM 5 months ago (on 01/94). If the price on 06/94 is
higher than that on 01/94, I need to assign a dummy variable of value 1 to
the observation on 06/94. Otherwise, the dummy is zero. Next, I need to
compare the price on 07/94 to that on 2/94 (price 5 month ago) and again
assign a dummy to the observation on 07/94. So on and so forth. Thus,
I need to refer to the observation 5 months ago in order to assign a dummy
to the current observation.
 
I would prefer to do this under SAS if possible. Otherwise, any help
on other programs that can solve this problem will also be greatly
appreciated.
 
Thanks again.
 
Robin Chou
Department of Finance
University of Iowa
Iowa City, IA 52242