Help using Base SAS procedures

proc syslin SUR -- how to choose a subset of the full dataset in each of the model equation

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Learner cmy
Learner
Posts: 1

proc syslin SUR -- how to choose a subset of the full dataset in each of the model equation

 

I ran a cross-sectional regression (across 500 stocks) for a particular month. It is repeated for other 60 months (say yymonth is 201001-201512). Then, the average (across time) coefficients are calculated.

 

proc reg data=a outest=b tableout noprint;

model y =   x1 x2 x3    /  adjrsq ;

  output out=RES r=rRESID;

by yymonth;

 

Now I need to run proc syslin SUR grouping all the 60 months together. 

Does anyone know how to 'choose' a month's data into each model equation? I think the code goes like this: 

 

proc syslin data = a sur;
model1: model y = x1 x2 x3; <----this one include only 2010Jan

model2: model y = x1 x2 x3; <----this one include only 2010Feb

...

model60: model y = x1 x2 x3; <----this one include only 2015Dec

run;

 

Thanks for your help!!

 

Respected Advisor
Posts: 2,655

Re: proc syslin SUR -- how to choose a subset of the full dataset in each of the model equation

Wouldn't a BY statement be sufficient to accomplish this?  In fact, the same BY statement that you used in PROC REG looks like it ought to work.

 

Steve Denham

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