The SASEFAME Interface Engine

Example 40.16 Reading Time Series by Defining Fame Expression Groups in the INSET= Option with the KEEP= Clause

To keep all the numeric time series that are listed in the expressions given in the input data set, INSETA, use the INSET=( setname KEEPLIST=fame_expression_group ) and the WILDCARD="?" options. The following statements show how to select time series that are specified in a KEEP expression group and are written to the SAS output data set.

data inseta; /* Use this for d8690 training data base */
   length express $52;
   express='cvx.close;'; output;
   express='{ibm.high,ibm.low,ibm.close};'; output;
   express='mave(ibm.close,30);'; output;
   express='crosslist({gm,f,c},{volume});'; output;
   express='cvx.close+ibm.close;'; output;
   express='ibm.close;'; output;
   express='sum(pep.volume);'; output;          
   express='mave(pep.close,20);'; output;
run;

title1 'TRAINING DB, Pricing Timeseries for Expressions in INSET=';  
proc print
   data=inseta;
run;

Output 40.16.1 shows the expressions that are stored as observations in INSETA.

Output 40.16.1 Listing of INSETA Defining Fame Expression Group

TRAINING DB, Pricing Timeseries for Expressions in INSET=

Obs	express
1	cvx.close;
2	{ibm.high,ibm.low,ibm.close};
3	mave(ibm.close,30);
4	crosslist({gm,f,c},{volume});
5	cvx.close+ibm.close;
6	ibm.close;
7	sum(pep.volume);
8	mave(pep.close,20);

The following statements show how to use the INSET= option to keep all of the time series that are represented in INSETA as the group variable named express.

libname libX sasefame "%sysget(FAME_DATA)"
   wildcard="?"
   convert=(frequency=business technique=constant) 
   range='23jul1997'd - '25jul1997'd 
   inset=( inseta KEEP=express)  
   ;
 

data trout;
   set libX.trainten;
run;

title1 'TRAINING DB, Pricing Timeseries for Expressions in INSET=';
proc print data=trout;
run;

proc contents data=trout;
run;

Output 40.16.2 and Output 40.16.3 show the results.

Output 40.16.2 Listing of TROUT using INSETA with KEEP=express

TRAINING DB, Pricing Timeseries for Expressions in INSET=

Obs	DATE	C.VOLUME	VOLUME	GM.VOLUME	IBM.CLOSE	IBM.HIGH	IBM.LOW	SASTEMP1	SASTEMP3	SASTEMP5	SASTEMP6	SASTEMP8
1	23JUL1997	33791.88	45864.05	37392	52.5625	53.5000	51.5938	76.8125	47.0894	129.375	52.5625	37.6118
2	24JUL1997	41828.85	29651.34	27771	53.9063	54.2188	52.2500	76.8750	47.4289	130.781	53.9063	37.6250
3	25JUL1997	46979.83	36716.77	24969	53.5000	54.2188	52.8125	78.0000	47.7392	131.500	53.5000	37.6546

Output 40.16.3 Listing of Contents of TROUT

Alphabetic List of Variables and Attributes
#	Variable	Type	Len	Format	Informat	Label
2	C.VOLUME	Num	8
1	DATE	Num	8	DATE9.	9.	Date of Observation
4	GM.VOLUME	Num	8
5	IBM.CLOSE	Num	8
6	IBM.HIGH	Num	8
7	IBM.LOW	Num	8
8	SASTEMP1	Num	8
9	SASTEMP3	Num	8
10	SASTEMP5	Num	8
11	SASTEMP6	Num	8
12	SASTEMP8	Num	8
3	VOLUME	Num	8