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
