Significance test of intercepts difference_more details

pmorel3 — Tue, 28 Jan 2020 16:27:55 GMT

Hello everyone,

I'm a beginner in sas and I'm wondering a question.

I have 10 models to estimate in order to say which is the correct one to predict returns (rp). Consequently, I decided to make 12 main comparisons (2 by 2) of my regression models by statistically comparing each time only my 2 intercepts (not the other betas coefficients) with tests. The trouble is I do not want to do this only with one returns serie but ultimately with around 2,000 (returns series). However, for now, I would like to make it as easy as I can. If I can do this on 1 serie, I can do it on 2,000.

So ultimately, I would like firstly to save on a distinct database all the parameters of my 10 regressions models (intercepts, bêtas coefficients, p-value, F-test, etc.). Secondly, I would like, for each model,to compute intercepts mean, intercepts percentiles, intercepts distribution, etc. Secondly, to know which model is correct to predict returns, I would like to compare 2 by 2 all of my 10 models by testing each time whether the 2 intercepts are statistically the same or not.

Please find below my 12 comparisons:

proc reg data=modelization outest=est; /*1*/
      M1: model rp=rm / selection=rsquare b best=1;
	  MFS1: model rp=rm rm_zdy rm_ztbl rm_ztms rm_zdfy / selection=rsquare b best=1;
   proc print data=est;
   run;

proc reg data=modelization outest=est; /*2*/
      M2: model rp=rm rmrsq / selection=rsquare b best=1;
      MFS2: model rp=rm rm_zdy rm_ztbl rm_ztms rm_zdfy rmrsq / selection=rsquare b best=1;
   proc print data=est;
   run;

proc reg data=modelization outest=est; /*3*/
	  M1: model rp=rm / selection=rsquare b best=1;
	  MPM10: model rp=rm rm_pred_mean / selection=rsquare b best=1;
proc print data=est;
   run;

proc reg data=modelization outest=est; /*4*/
	  M2: model rp=rm rmrsq / selection=rsquare b best=1;
	  MPM11: model rp=rm rm_pred_mean rmrsq / selection=rsquare b best=1;
proc print data=est;
   run;

proc reg data=modelization outest=est; /*5*/
	  M1: model rp=rm / selection=rsquare b best=1;
	  MCFG1: model rp=rm zdy ztbl ztms zdfy rm_zdy rm_ztbl rm_ztms rm_zdfy / selection=rsquare b best=1;
proc print data=est;
   run;

proc reg data=modelization outest=est; /*6*/
	  M2: model rp=rm rmrsq / selection=rsquare b best=1;
      MCFG2: model rp=rm zdy ztbl ztms zdfy rm_zdy rm_ztbl rm_ztms rm_zdfy rmrsq / selection=rsquare b best=1;
proc print data=est;
   run;

proc reg data=modelization outest=est; /*7*/
      M1: model rp=rm / selection=rsquare b best=1;
	  MPM20: model rp=pred_mean rm rm_pred_mean / selection=rsquare b best=1;
proc print data=est;
   run;

proc reg data=modelization outest=est; /*8*/
      M2: model rp=rm rmrsq / selection=rsquare b best=1;
      MPM21: model rp=pred_mean rm rm_pred_mean rmrsq / selection=rsquare b best=1;
proc print data=est;
   run;

proc reg data=modelization outest=est; /*9*/
	  MFS1: model rp=rm rm_zdy rm_ztbl rm_ztms rm_zdfy / selection=rsquare b best=1;
      MPM10: model rp=rm rm_pred_mean / selection=rsquare b best=1;
proc print data=est;
   run;

proc reg data=modelization outest=est; /*10*/
      MFS2: model rp=rm rm_zdy rm_ztbl rm_ztms rm_zdfy rmrsq / selection=rsquare b best=1;
      MPM11: model rp=rm rm_pred_mean rmrsq / selection=rsquare b best=1;
proc print data=est;
   run;

proc reg data=modelization outest=est; /*11*/
	  MCFG1: model rp=rm zdy ztbl ztms zdfy rm_zdy rm_ztbl rm_ztms rm_zdfy / selection=rsquare b best=1;
	  MPM20: model rp=pred_mean rm rm_pred_mean / selection=rsquare b best=1;
proc print data=est;
   run;

   proc reg data=modelization outest=est; /*12*/
	  MCFG2: model rp=rm zdy ztbl ztms zdfy rm_zdy rm_ztbl rm_ztms rm_zdfy rmrsq / selection=rsquare b best=1;
      MPM21: model rp=pred_mean rm rm_pred_mean rmrsq / selection=rsquare b best=1;    
   proc print data=est;
   run;

I hope that you can help me to write the codes relative to my goals.

Thank you,

Re: Significance test of intercepts difference_more details

PaigeMiller — Tue, 28 Jan 2020 16:34:30 GMT

This is a duplication of a question asked in another thread, which I have attempted to answer (partially).

Let's keep all discussion in that other thread at https://communities.sas.com/t5/SAS-Programming/Significance-test-of-intercepts-difference/td-p/619947

DO NOT REPLY HERE.

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Significance test of intercepts difference_more details

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