obtaining r-squared at firm year month level from proc surveryreg or reg

aarony — Mon, 13 Jun 2016 14:54:06 GMT

hi i am running the following regressions. the observations are in daily level.

i want to obtain r-squared for each company at the year month level.

for the below survey reg,

proc survery reg data=c2; by ticker year month; model retrf=mktrf smb hml umd;

ods output parameterestimates=r1; run;

i am not sure where to put the r-square command to get the r-square for EACH firm at the YEAR MONTH level.

thank you in advance

Re: obtaining r-squared at firm year month level from proc surveryreg or reg

PGStats — Mon, 13 Jun 2016 19:47:19 GMT

Add

FitStatistics=f1

to your ODS OUTPUT statement.