topic Obtaining partial r-squared from a cross sectional regression in Statistical Procedures

Obtaining partial r-squared from a cross sectional regression

Princeelvisa — Wed, 14 Jun 2023 17:13:31 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: Obtaining partial r-squared from a cross sectional regression

sbxkoenk — Wed, 14 Jun 2023 23:12:31 GMT

Hello,

I have moved your question to the "Statistical Procedures" board.

I would have moved it to the "Forecasting and Econometrics" board, but you clearly state you want to analyze cross-sectional data (and not time-series cross-sectional data = panel data).

Hence, you are in SAS/STAT space and not in SAS/ETS or SAS Econometrics space.

Have a look here :

Partial R2 with PROC GLM
https://communities.sas.com/t5/SAS-Studio/Partial-R2-with-PROC-GLM/td-p/429197

BR,

Koen

Re: Obtaining partial r-squared from a cross sectional regression

Princeelvisa — Thu, 15 Jun 2023 09:28:42 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 Koen, if you can help me with the mode above, I looked at what you posted and it bit different, I am sure.