options nocenter ls=80;

*put your directories here;
libname temp 'c:\empirical_methods_class\';
filename tempdir 'c:\empirical_methods_class\';

*read ibbotson data;
data ibbotson;
  informat date mmddyy10.;
  format date mmddyy10.;
  infile tempdir(stock_bond_data.csv) firstobs=2 dlm=',' missover;
  input date sp500 small tbill t1yr eqprem tint clong tlong inf;
  proc print data=ibbotson (obs=100);
run;

data vx1 (keep=date sp500 tbill);
  set ibbotson;
run;
proc means;
run;

data outdata;
  do xx=1 to 1;
  output;
  end;
run;

%macro rolling;
  %do y=1 %to 500;

proc surveyselect data=vx1
     method=urs n=12 outhits
     out=vx;
run;
*proc print data=vx;
*run;

data vxc (keep=csp500 ctbill);
  set vx;
  if _n_=1 then do;
   csp500=1+sp500/100;
   ctbill=1+tbill/100;
  end;
  else do;
   csp500=csp500*(1+sp500/100);
   ctbill=ctbill*(1+tbill/100);
  end;
  if _n_=12 then output;
  retain csp500 ctbill;
run;

*proc print data=vxc;
*run;

data outdata;
  set outdata vxc;
run;

 %end;
%mend rolling;

%rolling;
 
data outdata;
  set outdata;
  drop xx;
  sp500g=csp500-1;
  tbillg=ctbill-1;

proc means data=outdata n mean std p5 p95;
run;