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aarony
Obsidian | Level 7

hi i am running the following regressions. the observations are in daily level.

 

i want to obtain r-squared for  each company at the year month level.

 

for the below survey reg,

proc survery reg data=c2; by ticker year month; model retrf=mktrf smb hml umd;

ods output parameterestimates=r1; run;

 

i am not sure where to put the r-square command to get the r-square for EACH firm at the YEAR MONTH level.

 

thank you in advance

1 REPLY 1
PGStats
Opal | Level 21

Add

 

FitStatistics=f1

 

to your ODS OUTPUT statement.

PG

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