Discretionary Accruals SAS Code Question

TerryC — Thu, 13 Jul 2017 05:14:01 GMT

Hi, I am a SAS beginner, and trying to figure out the SAS code for discretionary accruals. I borrowed some SAS code from http://codegists.com/snippet/sas/earnings_management_modelssas_joostimpink_sas.

First, I construct all variables and winsorize them. Then I use the following code to calculate the discretionary accruals.

/* Regression by industry-year
edf + #params (4) will equal the number of obs (no need for proc univariate to count) */
proc sort data=Da.Da2_winsor; by fyear sic2;run;
proc reg data=Da.Da2_winsor noprint edf outest=Da.Da2_parms;
model wtac = wdrev wppe wroa; /* Kothari with ROA in model */
by fyear sic2;
run;

Data Da.Da2_parms; Set Da.Da2_parms;
rename wdrev=wdrev_parm wppe=wppe_parm wroa=wroa_parm;
Run;

*To merge the parameters into the main dataset;
Proc sql;
Create table Da.Da3 as select *
from Da.Da2_winsor as a left join Da.Da2_parms as b
on a.fyear=b.fyear and a.SIC2=b.SIC2;
Quit;

Data Da.Da3; Set Da.Da3;
tac_pdt = intercept + wdrev*wdrev_parm + wppe*wppe_parm + wroa*wroa_parm;
ADA = abs(tac-tac_pdt);
Run;

The results of this SAS code are close to the results from a paper, but there are still some difference. I do not know whether this difference is from some errors of the code. I have two questions:

1. I wonder if the codes above look right.

2. Does the the following SAS code give us the parameters and the intercepts for regressions of different years and different industries?

Thank you!

Re: Discretionary Accruals SAS Code Question

Kurt_Bremser — Thu, 13 Jul 2017 06:38:07 GMT

I moved your question to the SAS STAT community, as it is mainly about proc reg.

As advice for the beginner: give your code visual structure, this makes it easier to read, understand and maintain:

/* Regression by industry-year
edf + #params (4) will equal the number of obs (no need for proc univariate to count) */

proc sort data=Da.Da2_winsor;
by fyear sic2;
run;

proc reg
  data=Da.Da2_winsor
  noprint
  edf
  outest=Da.Da2_parms
;
model wtac = wdrev wppe wroa; /* Kothari with ROA in model */
by fyear sic2;
run;

Also note that I posted the code using the "little running man" (7th) icon, which invokes a fixed-font window that does format code close to what the enhanced editor in SAS does.

topic Discretionary Accruals SAS Code Question in Statistical Procedures

Discretionary Accruals SAS Code Question

Re: Discretionary Accruals SAS Code Question