topic Re: obtain regression parameters by year in Statistical Procedures

obtain regression parameters by year

somebody — Mon, 10 Jul 2017 09:45:09 GMT

I am running regression based on year i.e. each year would have a different set of coefficients. I would like to obtain a dataset that contains all coefficients per year as well as other stats such as Standard Error, T-value, R-squared etc. My regression code is :

proc reg data=input;
by year;
model Y=X1 X2 X3;
run;

My desired output is:

year      alpha        beta1        beta2        beta3      R-Squared       t-stat_beta1       t-stat_beta2
2000     aaaa         xxx            yyy            zzz     rrrr              tttttt            ttttttt
2001     aaaa         xxx            yyy            zzz     rrrr              ttttt             tttttt
2002     aaaa         xxx            yyy            zzz     rrrr              ttttt             ttttttt
2003     aaaa         xxx            yyy            zzz     rrrr              ttttt             tttttt
.............
..........

Thanks!

Re: obtain regression parameters by year

user24feb — Mon, 10 Jul 2017 09:44:22 GMT

Use

proc reg data=input outest=prms; * outEST !;

Re: obtain regression parameters by year

somebody — Mon, 10 Jul 2017 09:46:09 GMT

Thanks, I found out that OUTEST option right after posting the question. I have modified my question slightly.

Re: obtain regression parameters by year

user24feb — Mon, 10 Jul 2017 09:59:51 GMT

Use "ODS Trace On/Off" to check the ODS output and use "ODS Output" to get FitStatistics & ParameterEstimates.

Re: obtain regression parameters by year

Rick_SAS — Mon, 10 Jul 2017 11:36:39 GMT

See the article "ODS OUTPUT: Store any statistic created by any SAS procedure". The article has an example with PROC REG. The article uses the FitStatistics table, but you can substitute the ParameterEstimates table.

To find out the names of ODS tables, see the article "Find the ODS table names produced by any SAS procedure"