Pair Regression Estimation in SAS

EJAA — Wed, 23 Oct 2019 05:01:52 GMT

Hi All,

Thanks in advance for your help.

I am trying to run a matched pair regression across companies using data in two different table. I have about 9700 firms in one data set (help1) and in another data set (help) which contains a list of firms connected to each of the 9700 firms. Sample of data is attached.

From the 2 tables below, company with lpermno 10001 in table Help1 is connected to company 8433 and 1723398 as shown in table Help.

In the end, I want run a pair regression where I regress volume of company with lpermno 10001 on volume and stk_returns of firm 8433 and do same for other companies connected to firm wth ID 10001. Thus I want to do same for company 10001 and 1723398...etc

In brief, I run regression for 10001 and 8433; and 10001 and 1723398 by regressing volume of firm 10001 on volume and stk_returns of firm 8433. Each company is connected to several other companies hence seeking for your help to run the regressions at a go.

Data set “help1” contains daily volume and skt_returns for 9700 firms.

CompanyID   lpermno           date              volume           stk_returns
10675      10001          01/03/2000 142             0.40
10675        10001           01/04/2000    245                 0.45
10675       10001           01/05/2000    285                 0.42
10675        10001     01/07/2000   181                    0.43

10675      10001          01/10/2000 149             0.44
620983    10002          01/03/2000 200             0.30
620983   10002           01/04/2000    280                 0.35
620983    10002           01/05/2000    230                 0.32
620983     10002     01/07/2000   190                    0.33

620983 10002 01/10/2000 240 0.34

8433        10003          01/03/2000 300             0.10
8433         10003           01/04/2000    380                 0.15
8433        10003          01/05/2000    330                 0.12
8433         10003     01/07/2000   390                    0.13

8433 10003 01/10/2000 340 0.14

576969     10004          01/03/2000 400             0.80
576969    10004           01/04/2000    480                 0.85
576969      10004          01/05/2000    430                 0.82
576969      10004     01/07/2000   490                    0.83

576969 10004 01/10/2000 440 0.84

1723398     10000          01/03/2000 500             0.60
1723398    10000           01/04/2000 580                 0.65
1723398      10000          01/05/2000    530                 0.62
1723398     10000     01/07/2000   590                    0.63

1723398 10000 01/10/2000 500 0.64

Data set “help” contains the number of firms connected to each firm.d1-d3 are companyid’s of firms connected to for instance firm with lpermno 10001.

CompanyID   lpermno           d1                 d2
10675      10001          8433        1723398
620983      10002          576969    8433
959            10025     576969      1723398
9137          10028     2070824 18195

Thanks very much in advance for the assistance.

regards

ejaa.

Re: Pair Regression Estimation in SAS

ChrisNZ — Thu, 24 Oct 2019 02:36:17 GMT

What does the output look like for 10001?

Re: Pair Regression Estimation in SAS

EJAA — Thu, 24 Oct 2019 03:46:33 GMT

Hello ChrisNZ

In the end, I want to obtain regression coefficients so for firm 10001 which is connected to 2 companies, the expected output must look like:

lpermno CompanyID Coefficient _estimates_volume Coefficient_estimates_stk_retuns

10001 8433 a b

10001 1723398 c d

10001

In the original sample firm 10001 is connected to several other companies.

Many thanks in advance for the help. Hope the above explanation will help.

regards

ejaa

topic Re: Pair Regression Estimation in SAS in SAS Programming

Pair Regression Estimation in SAS

Re: Pair Regression Estimation in SAS

Re: Pair Regression Estimation in SAS