hi i am estimating regressions for stock prices on monthly basis, i want to creat a timeseries variable of R² from each regression , How to do it????
Like this :
proc reg data=have outest=want;
by myStock myWhatever;
model myPrice = myXvariable / rsquare;
run;
proc print data=want;
var myStock myWhatever _RSQ_;
run;
PG
Like this :
proc reg data=have outest=want;
by myStock myWhatever;
model myPrice = myXvariable / rsquare;
run;
proc print data=want;
var myStock myWhatever _RSQ_;
run;
PG
If I get it right, what you want is something like (untested) :
proc sql;
create table myWstd as
select stock, intck("WEEK", '01JAN2000'd, myDate) as weekNo, std(price) as priceStd
from myData
group by stock, calculated weekNo;
and then regress priceStd on weekNo, by stock.
PG
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