topic Re: Partial r-squared from cross sectional regression in Statistical Procedures

Partial r-squared from cross sectional regression

Princeelvisa — Wed, 14 Jun 2023 17:15:44 GMT

Hello Everyone,

I have mutual funds data at the quarterly level. I have funds percentage holdings in stocks. I want to run a cross-sectional regression of these funds' percentage holdings on two or three independent variables, which are at the stock level. Each fund has at least 10 stocks. I want the regression by fund per quarter. How do I output the partial r-squared for one independent variable for each fund per quarter after the cross-sectional regression. one of the independent variables is a dummy variable.

Any help, please?

Thank you

Re: Partial r-squared from cross sectional regression

ballardw — Wed, 14 Jun 2023 21:01:29 GMT

Can you show anything related to which regression you are attempting?

Note if your dummy variable is doing something related to indicating which level of a categorical variable the record represents you might find the the SAS CLASS statement to indicate category variables is useful and save work creating such dummy variables. Most of the regression procedures support such. Then you include the Class variable(s) in Model statement.

Re: Partial r-squared from cross sectional regression

Princeelvisa — Thu, 15 Jun 2023 09:24:37 GMT

This is the model i want to run. where i is stock, m denotes fund and t is quarter. So a cross-sectional regression for partial-squared for the first independent variable for each fund per quarter. Thank you.