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The EXPAND Procedure

Example 11.3: Using Transformations

This example shows the use of PROC EXPAND to perform various transformations of time series. The following statements read in monthly values for a variable X.

   data test;
      input year qtr x;
      date = yyq( year, qtr );
      format date yyqc.;
   datalines;
   1989 3 5238
   1989 4 5289
   1990 1 5375
   1990 2 5443
   1990 3 5514
   1990 4 5527
   1991 1 5557
   1991 2 5615
   ;

The following statements use PROC EXPAND to compute lags and leads and a 3-period moving average of the X series.

   proc expand data=test out=out method=none;
      id date;
      convert x = x_lag2   / transform=(lag 2);
      convert x = x_lag1   / transform=(lag 1);
      convert x;
      convert x = x_lead1  / transform=(lead 1);
      convert x = x_lead2  / transform=(lead 2);
      convert x = x_movave / transform=(movave 3);
   run;
   
   title "Transformed Series";
   proc print data=out;
   run;

Because there are no missing values to interpolate and no frequency conversion, the METHOD=NONE option is used to prevent PROC EXPAND from performing unnecessary computations. Because no frequency conversion is done, all variables in the input data set are copied to the output data set. The CONVERT X; statement is included to control the position of X in the output data set. This statement can be omitted, in which case X is copied to the output data set following the new variables computed by PROC EXPAND.

The results are shown in Output 11.3.1.

Output 11.3.1: Output Data Set with Transformed Variables
 
Transformed Series

Obs date x_lag2 x_lag1 x x_lead1 x_lead2 x_movave year qtr
1 1989:3 . . 5238 5289 5375 5238.00 1989 3
2 1989:4 . 5238 5289 5375 5443 5263.50 1989 4
3 1990:1 5238 5289 5375 5443 5514 5300.67 1990 1
4 1990:2 5289 5375 5443 5514 5527 5369.00 1990 2
5 1990:3 5375 5443 5514 5527 5557 5444.00 1990 3
6 1990:4 5443 5514 5527 5557 5615 5494.67 1990 4
7 1991:1 5514 5527 5557 5615 . 5532.67 1991 1
8 1991:2 5527 5557 5615 . . 5566.33 1991 2

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