HI need help on creating portfolios and estimating seemingly unrrelated regressions.

Ahmad — Thu, 04 Apr 2013 03:13:52 GMT

Hi every one i have data for 300 stocks for a period of 7 years.

every stock has a classification, which has three categories NM N1 N

i want to estimate 3 portfolios updated every year to include only firms which adher to the classification.

and then i want to estimate the following equation using SUR (seemingly unrelated regression)

Rpt= Apt + b1 Xpt + b2 Zpt +........... + e

data is come thing like this

input yrwk stock classif liq Return Marketreturn .......

200601 abc N1 .02 .1 .3

200602 abc N1 .06 .04 .4

200701 abc N1 .03 .04 .06

200601 xyz NM .05 .06 .06

200602 xyz NM .015 .046 .04

.......

....

200701 xyz NM .015 .046 .04

200601 qsd N .05 .06 .06

200602 qsd N .015 .046 .04

.......

....

200701 Qsd N .015 .046 .04;

end;

run;

Any help would be highly appreciated

topic HI need help on creating portfolios and estimating seemingly unrrelated regressions. in SAS Data Science