turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

Find a Community

- Home
- /
- SAS Programming
- /
- General Programming
- /
- Time series beta from cross sectional regression

Topic Options

- Subscribe to RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

10-04-2017 03:02 AM - edited 10-05-2017 06:13 PM

Hi

I have a panel data shown below with "id" identifies different stocks and "month" is monthly dates column. The data set is sorted by id and month.

```
data have;
input id month x1 x2 y;
datalines;
45 09/30/2004 -0.30 1.34 1
45 09/30/2004 -0.30 1.34 1
45 05/31/2005 -0.08 0.78 0
45 12/31/2008 . . 0
48 09/30/2001 -0.01 1.88 1
48 02/28/2004 0.78 1.50 0
48 05/31/2005 . 0.54 1
49 01/31/2002 0.05 . 1
51 03/31/2001 -0.06 1.48 0
55 05/31/2005 0.30 1.21 1
55 05/31/2005 0.30 1.21 1
55 11/30/2007 . . 0
; run;
```

I need to run cross sectional regression (proc reg) "by month". So the purpose is to **observe variations in coefficient (beta) of "x2" over time i.e. over various months**. I am using following proc but there is an Error saying "month" is not sorted in ascending order. When I sort the data by month and run the regression, resulting output gives "0" coefficients for missing values.

```
proc reg data=have;
model y=x1 x2; by month; run;
```

Kindly guide me in this regard. I also need to know how to create a data set based on time variant coefficients of only x2 along-with their corresponding months (date), and how to ultimately draw their graph.

Thanks.

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Posted in reply to Saba1

10-04-2017 12:29 PM

See the code in Chapter 4 of *Using SAS in Financial Research* (Boehmer, Broussard, and Kallunki, 2002) Code from the book is available for free from the book's website.

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Posted in reply to Rick_SAS

10-05-2017 06:16 PM

@Rick_SAS Thanks. The book is quite useful with example codes. But I do not need a rolling regression. I have edited my question and will be grateful if you kindly help me in the context of this question.