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How to extract intercept and residuals from a panel regression as a separate data file

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Contributor
Posts: 43

How to extract intercept and residuals from a panel regression as a separate data file

Hi i am estimating a  dummy panel regression to remove seasonality.

The equation goes something like this

Y = intercept + b mon + b2 tue + b3 wed + b4 thrsday + e

Now i want to calculate a variable which would be intercept+ e

i am using       proc reg  with a "by" variable

how to extract only the intercept and residual as a seperate data set.

I know how to extract residual , but extracting intercept is very tricky . By using outest command it gives me a very jumbled data set with alot of other observations too.

Is there any efficient way???

Thanks in advance for helping

Contributor
Posts: 43

Re: How to extract intercept and residuals from a panel regression as a separate data file

kindly help me on this need help urgently, sorry for bugging

Respected Advisor
Posts: 4,655

Re: How to extract intercept and residuals from a panel regression as a separate data file

It is quite straitforward to combine OUTEST= and OUT= datasets :

proc reg data=myData outest=myParms;
by myByVar;
model Y = mon tue wed thrsday;
output out=myRes r=resid;
run;

proc sql;
create table noSeason as
select R.myByVar, P.intercept + R.resid as Yp
from myParms as P inner join myRes as R on P.myByVar=R.myByVar
where P._TYPE_="PARMS";
quit;

PG

PG
Contributor
Posts: 43

Re: How to extract intercept and residuals from a panel regression as a separate data file

Thanks alot really appreciate

Contributor
Posts: 43

Re: How to extract intercept and residuals from a panel regression as a separate data file

Dear there is one little problem, all the out put tables delete the date variable and i want to include the date variable, is there any remedie for that.

Kindly reply as soon as you can . Really appreciate your help

Thanking you in anticipation

Respected Advisor
Posts: 4,655

Re: How to extract intercept and residuals from a panel regression as a separate data file

How is your date variable related to your other variables, especially to your BY variable(s)?

PG
Contributor
Posts: 43

Re: How to extract intercept and residuals from a panel regression as a separate data file

it is a panel data basically, for 500 stocks , daily data over 7 years. so my by variable is the stock name, which is to say o am estimating regression for every stock seperately,

i managed to get the desired result by manipulating the code you provided , kindly check if i have done it right or if there is a more efficient way kindly suggest that

proc sql;

create table noSeason1 as

select R.codneg, P.intercept + R.resid as Yp ,date

from myres as R inner join Myparms as P on R.codneg=P.codneg

where P._TYPE_="PARMS";

quit;

Contributor
Posts: 43

Re: How to extract intercept and residuals from a panel regression as a separate data file

where codneg is the stock name variable, and rest is all the same as you suggested

Respected Advisor
Posts: 4,655

Re: How to extract intercept and residuals from a panel regression as a separate data file

That looks perfectly fine to me!

PG

PG
Contributor
Posts: 43

Re: How to extract intercept and residuals from a panel regression as a separate data file

thanks you are a great help

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