topic Re: run regression by groups in SAS Programming

run regression by groups

ADou — Mon, 21 Jan 2019 21:31:06 GMT

Hi experts,

As in my txt file, I want to regress R1 on R2 in the group of permno. And for each permno, I wanna get the coefficient of its regression. Is it possible to get a set of the coefficients corresponding to each permno? Thanks a lot!!

Re: run regression by groups

Reeza — Mon, 21 Jan 2019 21:32:57 GMT

Add the variable you want to have it into your BY statement? Have you tried adding a BY statement to your model?

Re: run regression by groups

ADou — Mon, 21 Jan 2019 21:39:48 GMT

Yes, I tried the codes below, but my system always crash when I run this step.

proc reg data=reg;
model ret1=ret2;
by permno;
run;

Re: run regression by groups

Reeza — Mon, 21 Jan 2019 21:41:22 GMT

Do you get an error message of some kind? Try putting the BY statement before the MODEL, and you need to have a QUIT instead of RUN.

Re: run regression by groups

ADou — Mon, 21 Jan 2019 22:13:28 GMT

I put the BY before model, but the system still crash again. And it seems it creates only the report, not a collection of the coefficients.

Re: run regression by groups

Reeza — Mon, 21 Jan 2019 22:28:24 GMT

I would actually turn off output. You haven't specified anything in the output to capture the output, so no output would be captured.
https://blogs.sas.com/content/iml/2017/02/13/run-1000-regressions.html