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HI need help on creating portfolios and estimating seemingly unrrelated regressions.

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HI need help on creating portfolios and estimating seemingly unrrelated regressions.

Hi every one i have data for 300 stocks for a period of 7 years.

every stock has a classification, which has three categories NM  N1 N

i want to estimate 3 portfolios updated every year to include only firms which adher to the classification.

and then i want to estimate the following equation using SUR (seemingly unrelated regression)

Rpt= Apt + b1 Xpt + b2 Zpt +........... + e

data is come thing like this

input yrwk  stock  classif  liq  Return Marketreturn  .......

200601     abc     N1     .02     .1     .3    

200602     abc     N1     .06     .04     .4    

.

.

200701     abc     N1     .03     .04     .06

200601     xyz     NM     .05     .06     .06

200602     xyz     NM     .015     .046     .04

.......

....

200701     xyz     NM     .015     .046     .04

200601   qsd    N    .05     .06     .06

200602     qsd     N    .015     .046     .04

.......

....

200701     Qsd    N     .015     .046     .04;

end;

run;

Any help would be highly appreciated

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