topic Re: Adj R squared in Fama-MacBeth Regression in SAS Programming

Adj R squared in Fama-MacBeth Regression

mexes — Sun, 21 Jul 2013 12:56:17 GMT

Hi everybody

How can I get the adj R squared within this code when I make a FMB Regression? I tried it with the option ods output FitStatistics = fitstats, but it did not work correctly. Thanks for the help.

ods listing close;

output parameterestimates=pe;

proc reg data=test;

by year;

model y= x; run;

quit;

ods listing;

proc means data=pe mean std t probt;

var estimate; class variable;

run;

proc sort data=pe; by variable; run;

%let lags=3;

ods output parameterestimates=nw;

ods listing close;

proc model data=pe;

by variable;

instruments / intonly;

estimate=a;

fit estimate / gmm kernel=(bart,%eval(&lags+1),0) vardef=n; run;

quit;

ods listing;

Re: Adj R squared in Fama-MacBeth Regression

SteveDenham — Wed, 24 Jul 2013 15:20:20 GMT

I really don't have an answer, but I would bet that someone on the Forecasting and Econometrics forum would be able to help with the PROC MODEL part. You should consider reposting this in that forum.

Steve Denham

Re: Adj R squared in Fama-MacBeth Regression

AncaTilea — Wed, 24 Jul 2013 17:09:45 GMT

Hi.

if you do a quick google search on your request you will see that there is some sort of code (that looks similar to yours) from Jie Cao:

http://ihome.cuhk.edu.hk/~b121456/tools/FF_reg.txt

Maybe it will help?

Anca

Re: Adj R squared in Fama-MacBeth Regression

Reeza — Wed, 24 Jul 2013 17:18:11 GMT

Are you looking for the standard adj r from proc reg or proc model (which I know nothing about)? Or another type of calculation?

Re: Adj R squared in Fama-MacBeth Regression

HHZ — Mon, 28 Oct 2013 01:13:28 GMT

*add one option like the following will give you adjusted R-sq in the dataset "adjrsq" together with other default statistics;

*i use it by myself, and it works;

ods listing close;

output parameterestimates=pe fitstatistics=adjrsq;

proc reg data=test;

by year;

model y= x; run;

quit;

ods listing;