regression with separate coefficients for postitive and negative values

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regression with separate coefficients for postitive and negative values

Hi everyone,

I want to run regression a on b. However, I want to have separate coefficients for b+ (positive b) and b- (negative b).

Model is  a = alpha + beta1*abs(b+) + beta2*abs(b-)

Thank you so much,


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Solution
‎07-28-2014 02:40 PM
Respected Advisor
Posts: 4,663

Re: regression with separate coefficients for postitive and negative values

Use BY processing:

data test;

set myData;

absB = abs(b);

signB = b >= 0; /* Consider zero positive */

run;


proc sort data=test; by company_ID; run;

proc glm data=test;

by company_ID;

class signB;

/* Same intercept */

model a = absB*signB / solution;

run;


PG

PG

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All Replies
Respected Advisor
Posts: 4,663

Re: regression with separate coefficients for postitive and negative values

Something like this:

data test;

set myData;

absB = abs(b);

signB = b >= 0; /* Consider zero positive */

run;

proc glm data=test;

class signB;

/* Same intercept */

model a = absB*signB / solution;

run;

PG

PG
Contributor
Posts: 51

Re: regression with separate coefficients for postitive and negative values

Hi PGStats,

In the case that I want to run this regression for each company (company_ID), how cai I modify the code?

Thank you so much,

Solution
‎07-28-2014 02:40 PM
Respected Advisor
Posts: 4,663

Re: regression with separate coefficients for postitive and negative values

Use BY processing:

data test;

set myData;

absB = abs(b);

signB = b >= 0; /* Consider zero positive */

run;


proc sort data=test; by company_ID; run;

proc glm data=test;

by company_ID;

class signB;

/* Same intercept */

model a = absB*signB / solution;

run;


PG

PG
Contributor
Posts: 51

Re: regression with separate coefficients for postitive and negative values

Hi PGstats,

Thank you so much for your help,

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