topic how to obtain the regression coefficients for variables for EACH OBSERVATION in SAS Procedures

how to obtain the regression coefficients for variables for EACH OBSERVATION

comeon2012 — Wed, 07 May 2014 02:56:40 GMT

I want to obtain the coefficients, T value, R square, intercept, and residual for EACH OBS through regression and then output/outest the result into a new dataset.

For example, there are 10 obs in a sample and there are 2 independent variables (X1 and X2). I want to generate a dataset like below:

obs

1 coefficient of X1 coefficient of X2 intercept T value Adj R square residual

2 coefficient of X1 coefficient of X2 intercept T value Adj R square residual

3 coefficient of X1 coefficient of X2 intercept T value Adj R square residual

4 coefficient of X1 coefficient of X2 intercept T value Adj R square residual

5 coefficient of X1 coefficient of X2 intercept T value Adj R square residual

6 coefficient of X1 coefficient of X2 intercept T value Adj R square residual

7 coefficient of X1 coefficient of X2 intercept T value Adj R square residual

8 coefficient of X1 coefficient of X2 intercept T value Adj R square residual

9 coefficient of X1 coefficient of X2 intercept T value Adj R square residual

10 coefficient of X1 coefficient of X2 intercept T value Adj R square residual

Please be noted what I want is not the set of parameter estimates, t value, adjusted R square etc for the WHOLE sample.

What I know is to obtain the residual for each obs (through below code) and output into a new dataset, but how to write the code for obtaining the other iterms? Thank you.

proc reg data=dataset;

model y = x1 x2;

output out=dataset_reg

r=residual;

run;

quit;

Re: how to obtain the regression coefficients for variables for EACH OBSERVATION

PGStats — Wed, 07 May 2014 03:30:29 GMT

I don't know about the concept of observation r-square, but for the rest, you could do:

proc reg data=sashelp.class outest=oe;

model weight = height age;

output out=op predicted=predicted residual=residual student=tValue;

run;

quit;

proc sql;

create table want as

select op.*,

oe.height*op.height as heightCoef,

oe.age*op.age as ageCoef,

oe.intercept

from oe, op;

select * from want;

quit;

Re: how to obtain the regression coefficients for variables for EACH OBSERVATION

comeon2012 — Thu, 08 May 2014 05:32:20 GMT

Hi PG,

Thank you for your help. It goes well but the intercept keeps the same for all obs. Is it possible to get the intercept for EACH obs?

Thanks.

Re: how to obtain the regression coefficients for variables for EACH OBSERVATION

PGStats — Thu, 08 May 2014 14:57:55 GMT

No, Maybe it is just a question of vocabulary but in my mind, a statistical model is a way to summarize and sometimes understand a phenomenon underlying data with a smaller amount of information. I don't understand the purpose of getting one model per data point, as you seem to want.

Re: how to obtain the regression coefficients for variables for EACH OBSERVATION

Reeza — Thu, 08 May 2014 15:19:21 GMT

Your question doesn't make sense.

That would mean a regression model for each observation, which isn't statistically valid.

Or are you looking for the values of X1, X2 instead of the coefficients?

Re: how to obtain the regression coefficients for variables for EACH OBSERVATION

comeon2012 — Fri, 09 May 2014 03:41:02 GMT

I double checked the paper I followed and realised that I misunderstood its methodology.

Yes, my question doesn't make sense. Thank you anyways.