## Adj R squared in Fama-MacBeth Regression

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Occasional Contributor
Posts: 19

# Adj R squared in Fama-MacBeth Regression

Hi everybody

How can I get the adj R squared within this code when I make a FMB Regression? I tried it with the option ods output FitStatistics = fitstats, but it did not work correctly. Thanks for the help.

ods listing close;

output parameterestimates=pe;

proc reg data=test;

by year;

model y= x; run;

quit;

ods listing;

proc means data=pe mean std t probt;

var estimate; class variable;

run;

proc sort data=pe; by variable; run;

%let lags=3;

ods output parameterestimates=nw;

ods listing close;

proc model data=pe;

by variable;

instruments / intonly;

estimate=a;

fit estimate / gmm kernel=(bart,%eval(&lags+1),0) vardef=n; run;

quit;

ods listing;

Accepted Solutions
Solution
‎07-24-2013 01:18 PM
Super User
Posts: 23,776

## Re: Adj R squared in Fama-MacBeth Regression

Are you looking for the standard adj r from proc reg or proc model (which I know nothing about)? Or another type of calculation?

All Replies
Posts: 2,655

## Re: Adj R squared in Fama-MacBeth Regression

I really don't have an answer, but I would bet that someone on the Forecasting and Econometrics forum would be able to help with the PROC MODEL part.  You should consider reposting this in that forum.

Steve Denham

Super Contributor
Posts: 543

## Re: Adj R squared in Fama-MacBeth Regression

Hi.

if you do a quick google search on your request you will see that there is some sort of code (that looks similar to yours) from Jie Cao:

http://ihome.cuhk.edu.hk/~b121456/tools/FF_reg.txt

Maybe it will help?

Anca

Solution
‎07-24-2013 01:18 PM
Super User
Posts: 23,776

## Re: Adj R squared in Fama-MacBeth Regression

Are you looking for the standard adj r from proc reg or proc model (which I know nothing about)? Or another type of calculation?

New Contributor
Posts: 2

## Re: Adj R squared in Fama-MacBeth Regression

*add one option like the following will give you adjusted R-sq in the dataset "adjrsq" together with other default statistics;

*i use it by myself, and it works;

ods listing close;

proc reg data=test;

by year;

model y= x; run;

quit;

ods listing;

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