how to include the variables I used in the 'by' statement into the regression output dataset

[acironin]

Hello,

I have one very large dataset. I run the regression procedure using 'by var1 var2 var3', resulting in thousands of regressions. I would like to get the regression results along with the t-stats of the estimates to an output dataset. But I would also like to include the three variables I used in ''by var1 var2 var3' so that I can see which estimates belongs to which regression. This way, I will further be able to categorize the regression results based on these var1 var2 var3 variables later.

I will appreciate very much if you can help me. Thanks.

[Doc_Duke · Accepted solution]

Check the documentation for OUTEST in PROC REG.  I think that has what you want.