Help using Base SAS procedures

obtaining r-squared at firm year month level from proc surveryreg or reg

Reply
Frequent Contributor
Posts: 102

obtaining r-squared at firm year month level from proc surveryreg or reg

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

Respected Advisor
Posts: 4,644

Re: obtaining r-squared at firm year month level from proc surveryreg or reg

Add

 

FitStatistics=f1

 

to your ODS OUTPUT statement.

PG
Ask a Question
Discussion stats
  • 1 reply
  • 146 views
  • 0 likes
  • 2 in conversation