Hi everybody
I have a problem with a regression code. I have daily stock returns from 1990 to 2011 for many firms. I also have daily returns of an index from 1990 to 2011. I downloaded the two data sets separately and combined them with a proc sql as a left join step. Now the dates of the daily stock returns match exactly the dates of the daily returns of the index, which is perfect. I need to estimate market betas for every firm, every firm has a unique identifier which in this case is the CUSIP. I need to estimate the market betas for every quarter (3 month), semi year (6 month) and every year (12 month), these are my intervals. The dependent variable is the daily stock return of the individual firms called: ret, the independent variable is the daily index return called: vwretd
Is there a SAS code which does the regression for every quarter, semi year and year, that is: is there a SAS code which gives me the slope for every quarter, semi year and year for every firm. Always after the year 2011 a new cusip number starts for a new firm. The daily index returns are always the same for every firm. The optimal output would be something like this where we have the cusip of the relevant firm with the slope coefficient:
CUSIP QUARTER YEAR SLOPE_COEFFICIENT
So when I would do the regression on a yearly frequency I would have one slope coefficient per year.
For the semi year frequency I would have 2 slope coefficients per year and for the quarterly frequency I would have 4 slope coefficients per year.
The outputs can be given in separate files, one for the quarterly, semi yearly and yearly regressions.
Here is an extract of the data set for two years (1990, 1991) on a daily basis:
cusip date prc ret caldt vwretd
00036110 19900102 36.00000 0.000000 19900102 0.015013
00036110 19900103 36.25000 0.006944 19900103 -0.000412
00036110 19900104 35.50000 -0.020690 19900104 -0.006889
00036110 19900105 35.87500 0.010563 19900105 -0.008298
00036110 19900108 35.25000 -0.017422 19900108 0.003353
00036110 19900109 35.12500 -0.003546 19900109 -0.009937
00036110 19900110 35.12500 0.000000 19900110 -0.005951
00036110 19900111 34.37500 -0.021352 19900111 0.003523
00036110 19900112 33.75000 -0.018182 19900112 -0.022824
00036110 19900115 33.25000 -0.014815 19900115 -0.009168
00036110 19900116 32.12500 -0.033835 19900116 0.008767
00036110 19900117 30.87500 -0.038911 19900117 -0.007445
00036110 19900118 31.50000 0.020243 19900118 0.000750
00036110 19900119 32.62500 0.035714 19900119 0.002562
00036110 19900122 31.87500 -0.022989 19900122 -0.022508
00036110 19900123 31.75000 -0.000157 19900123 0.000405
00036110 19900124 30.37500 -0.043307 19900124 -0.003904
00036110 19900125 30.25000 -0.004115 19900125 -0.011007
00036110 19900126 30.12500 -0.004132 19900126 -0.002615
00036110 19900129 30.75000 0.020747 19900129 -0.002343
00036110 19900130 30.87500 0.004065 19900130 -0.007417
00036110 19900131 31.50000 0.020243 19900131 0.016820
00036110 19900201 31.87500 0.011905 19900201 0.000592
00036110 19900202 31.50000 -0.011765 19900202 0.006758
00036110 19900205 31.37500 -0.003968 19900205 0.004019
00036110 19900206 31.37500 0.000000 19900206 -0.005170
00036110 19900207 30.87500 -0.015936 19900207 0.011017
00036110 19900208 30.62500 -0.008097 19900208 -0.000772
00036110 19900209 31.37500 0.024490 19900209 0.002307
00036110 19900212 30.25000 -0.035857 19900212 -0.009170
00036110 19900213 30.25000 0.000000 19900213 0.001878
00036110 19900214 30.50000 0.008264 19900214 0.002080
00036110 19900215 31.00000 0.016393 19900215 0.007752
00036110 19900216 31.37500 0.012097 19900216 -0.004777
00036110 19900220 30.87500 -0.015936 19900220 -0.012874
00036110 19900221 31.37500 0.016194 19900221 -0.001482
00036110 19900222 31.00000 -0.011952 19900222 -0.004034
00036110 19900223 30.62500 -0.012097 19900223 -0.005135
00036110 19900226 30.62500 0.000000 19900226 0.010150
00036110 19900227 30.87500 0.008163 19900227 0.005342
00036110 19900228 31.12500 0.008097 19900228 0.005296
00036110 19900301 31.37500 0.008032 19900301 0.002895
00036110 19900302 31.37500 0.000000 19900302 0.007892
00036110 19900305 31.75000 0.011952 19900305 -0.003457
00036110 19900306 31.62500 -0.003937 19900306 0.010857
00036110 19900307 27.50000 -0.130435 19900307 -0.001929
00036110 19900308 28.75000 0.045455 19900308 0.008404
00036110 19900309 28.87500 0.004348 19900309 -0.005488
00036110 19900312 28.75000 -0.004329 19900312 0.002005
00036110 19900313 28.37500 -0.013043 19900313 -0.006634
00036110 19900314 28.12500 -0.008811 19900314 0.002473
00036110 19900315 28.00000 -0.004444 19900315 0.002477
00036110 19900316 29.75000 0.062500 19900316 0.008885
00036110 19900319 29.50000 -0.008403 19900319 0.004183
00036110 19900320 29.75000 0.008475 19900320 -0.004906
00036110 19900321 29.75000 0.000000 19900321 -0.004391
00036110 19900322 29.37500 -0.012605 19900322 -0.011649
00036110 19900323 29.25000 -0.004255 19900323 0.004228
00036110 19900326 29.87500 0.021368 19900326 0.001441
00036110 19900327 30.00000 0.004184 19900327 0.008567
00036110 19900328 29.62500 -0.012500 19900328 0.002361
00036110 19900329 30.00000 0.012658 19900329 -0.002982
00036110 19900330 30.00000 0.000000 19900330 -0.001640
00036110 19900402 29.75000 -0.008333 19900402 -0.003860
00036110 19900403 29.62500 -0.004202 19900403 0.012997
00036110 19900404 29.50000 -0.004219 19900404 -0.006155
00036110 19900405 29.50000 0.000000 19900405 -0.000485
00036110 19900406 29.50000 0.000000 19900406 -0.001795
00036110 19900409 29.00000 -0.016949 19900409 0.002538
00036110 19900410 28.62500 -0.012931 19900410 0.001325
00036110 19900411 28.62500 0.000000 19900411 -0.000582
00036110 19900412 29.25000 0.021834 19900412 0.006882
00036110 19900416 29.00000 -0.008547 19900416 0.000872
00036110 19900417 28.75000 -0.008621 19900417 -0.000458
00036110 19900418 27.87500 -0.030435 19900418 -0.010184
00036110 19900419 25.50000 -0.085202 19900419 -0.007450
00036110 19900420 23.00000 -0.098039 19900420 -0.008673
00036110 19900423 21.75000 -0.054348 19900423 -0.010696
00036110 19900424 22.00000 0.011494 19900424 -0.002252
00036110 19900425 21.37500 -0.028409 19900425 0.004647
00036110 19900426 21.00000 -0.017544 19900426 0.002123
00036110 19900427 20.62500 -0.017857 19900427 -0.010598
00036110 19900430 21.62500 0.048485 19900430 0.004336
00036110 19900501 22.12500 0.028671 19900501 0.004245
00036110 19900502 22.62500 0.022599 19900502 0.005916
00036110 19900503 22.25000 -0.016575 19900503 0.003494
00036110 19900504 22.00000 -0.011236 19900504 0.007883
00036110 19900507 21.87500 -0.005682 19900507 0.005935
00036110 19900508 22.00000 0.005714 19900508 0.004131
00036110 19900509 21.87500 -0.005682 19900509 0.001723
00036110 19900510 21.62500 -0.011429 19900510 0.004102
00036110 19900511 21.87500 0.011561 19900511 0.020919
00036110 19900514 22.00000 0.005714 19900514 0.007797
00036110 19900515 22.25000 0.011364 19900515 -0.001292
00036110 19900516 22.00000 -0.011236 19900516 -0.000979
00036110 19900517 21.62500 -0.017045 19900517 0.001954
00036110 19900518 21.00000 -0.028902 19900518 0.000411
00036110 19900521 21.00000 0.000000 19900521 0.009257
00036110 19900522 21.62500 0.029762 19900522 0.001548
00036110 19900523 21.62500 0.000000 19900523 0.001414
00036110 19900524 21.50000 -0.005780 19900524 -0.001062
00036110 19900525 21.37500 -0.005814 19900525 -0.008675
00036110 19900529 21.75000 0.017544 19900529 0.014378
00036110 19900530 21.25000 -0.022989 19900530 0.001022
00036110 19900531 21.25000 0.000000 19900531 0.001231
00036110 19900601 21.00000 -0.011765 19900601 0.005287
00036110 19900604 21.62500 0.029762 19900604 0.011203
00036110 19900605 21.50000 -0.005780 19900605 -0.001433
00036110 19900606 21.50000 0.000000 19900606 -0.003550
00036110 19900607 21.00000 -0.023256 19900607 -0.004580
00036110 19900608 20.50000 -0.023810 19900608 -0.010660
00036110 19900611 20.00000 -0.024390 19900611 0.006833
00036110 19900612 19.75000 -0.012500 19900612 0.011182
00036110 19900613 19.62500 -0.006329 19900613 -0.002984
00036110 19900614 19.50000 -0.006369 19900614 -0.004946
00036110 19900615 19.50000 0.000000 19900615 -0.000881
00036110 19900618 19.50000 0.000000 19900618 -0.014086
00036110 19900619 19.50000 0.000000 19900619 0.003517
00036110 19900620 19.50000 0.000000 19900620 0.001136
00036110 19900621 20.12500 0.032051 19900621 0.002903
00036110 19900622 21.00000 0.043478 19900622 -0.010781
00036110 19900625 20.50000 -0.023810 19900625 -0.007998
00036110 19900626 21.37500 0.042683 19900626 -0.001000
00036110 19900627 21.50000 0.005848 19900627 0.007010
00036110 19900628 23.00000 0.069767 19900628 0.006611
00036110 19900629 24.00000 0.043478 19900629 0.001930
00036110 19900702 23.62500 -0.015625 19900702 0.003631
00036110 19900703 23.25000 -0.015873 19900703 0.002235
00036110 19900705 22.75000 -0.021505 19900705 -0.010393
00036110 19900706 22.37500 -0.016484 19900706 0.006627
00036110 19900709 22.75000 0.016760 19900709 0.002181
00036110 19900710 22.00000 -0.032967 19900710 -0.006697
00036110 19900711 22.50000 0.022727 19900711 0.011065
00036110 19900712 23.00000 0.022222 19900712 0.010971
00036110 19900713 22.75000 -0.010870 19900713 0.004856
00036110 19900716 22.87500 0.005495 19900716 0.004325
00036110 19900717 22.62500 -0.010929 19900717 -0.003236
00036110 19900718 22.75000 0.005525 19900718 -0.008418
00036110 19900719 22.62500 -0.005495 19900719 0.002391
00036110 19900720 23.00000 0.016575 19900720 -0.008046
00036110 19900723 21.50000 -0.065217 19900723 -0.017341
00036110 19900724 21.00000 -0.023256 19900724 0.000913
00036110 19900725 22.25000 0.059524 19900725 0.003502
00036110 19900726 21.75000 -0.022472 19900726 -0.002458
00036110 19900727 22.37500 0.028736 19900727 -0.006148
00036110 19900730 22.25000 -0.005587 19900730 0.004223
00036110 19900731 21.75000 -0.017079 19900731 0.002189
00036110 19900801 22.00000 0.011494 19900801 -0.000889
00036110 19900802 21.62500 -0.017045 19900802 -0.010355
00036110 19900803 20.37500 -0.057803 19900803 -0.016714
00036110 19900806 19.50000 -0.042945 19900806 -0.030303
00036110 19900807 18.87500 -0.032051 19900807 0.001625
00036110 19900808 19.00000 0.006623 19900808 0.010303
00036110 19900809 19.62500 0.032895 19900809 0.005052
00036110 19900810 19.00000 -0.031847 19900810 -0.010780
00036110 19900813 18.87500 -0.006579 19900813 0.007697
00036110 19900814 18.37500 -0.026490 19900814 0.002269
00036110 19900815 18.75000 0.020408 19900815 0.002819
00036110 19900816 18.00000 -0.040000 19900816 -0.020180
00036110 19900817 17.62500 -0.020833 19900817 -0.013535
00036110 19900820 17.25000 -0.021277 19900820 0.000585
00036110 19900821 16.50000 -0.043478 19900821 -0.018690
00036110 19900822 16.25000 -0.015152 19900822 -0.015039
00036110 19900823 16.00000 -0.015385 19900823 -0.030410
00036110 19900824 15.75000 -0.015625 19900824 0.013092
00036110 19900827 16.12500 0.023810 19900827 0.029555
00036110 19900828 16.25000 0.007752 19900828 0.000539
00036110 19900829 15.75000 -0.030769 19900829 0.008548
00036110 19900830 15.75000 0.000000 19900830 -0.013818
00036110 19900831 15.87500 0.007937 19900831 0.009697
00036110 19900904 15.62500 -0.015748 19900904 0.000917
00036110 19900905 15.75000 0.008000 19900905 0.004217
00036110 19900906 15.37500 -0.023810 19900906 -0.009725
00036110 19900907 15.25000 -0.008130 19900907 0.007900
00036110 19900910 15.25000 0.000000 19900910 -0.004080
00036110 19900911 15.50000 0.016393 19900911 -0.001112
00036110 19900912 15.87500 0.024194 19900912 0.003266
00036110 19900913 15.25000 -0.039370 19900913 -0.010162
00036110 19900914 14.50000 -0.049180 19900914 -0.005776
00036110 19900917 14.37500 -0.008621 19900917 0.002500
00036110 19900918 14.62500 0.017391 19900918 0.001752
00036110 19900919 14.50000 -0.008547 19900919 -0.005489
00036110 19900920 13.62500 -0.060345 19900920 -0.014798
00036110 19900921 13.87500 0.018349 19900921 -0.001150
00036110 19900924 13.37500 -0.036036 19900924 -0.019792
00036110 19900925 13.00000 -0.028037 19900925 0.010016
00036110 19900926 13.00000 0.000000 19900926 -0.009921
00036110 19900927 12.50000 -0.038462 19900927 -0.013002
00036110 19900928 12.25000 -0.020000 19900928 0.014865
00036110 19901001 12.50000 0.020408 19901001 0.025729
00036110 19901002 12.62500 0.010000 19901002 0.002323
00036110 19901003 12.50000 -0.009901 19901003 -0.009870
00036110 19901004 12.25000 -0.020000 19901004 0.002304
00036110 19901005 12.12500 -0.010204 19901005 -0.003850
00036110 19901008 11.75000 -0.030928 19901008 0.005727
00036110 19901009 10.50000 -0.106383 19901009 -0.023998
00036110 19901010 10.00000 -0.047619 19901010 -0.014823
00036110 19901011 9.50000 -0.050000 19901011 -0.016548
00036110 19901012 9.87500 0.039474 19901012 0.012988
00036110 19901015 10.12500 0.025316 19901015 0.008662
00036110 19901016 10.00000 -0.012346 19901016 -0.013276
00036110 19901017 10.75000 0.075000 19901017 -0.000357
00036110 19901018 11.62500 0.081395 19901018 0.021516
00036110 19901019 11.37500 -0.021505 19901019 0.018141
00036110 19901022 11.62500 0.021978 19901022 0.007482
00036110 19901023 12.12500 0.053333 19901023 -0.005006
00036110 19901024 11.87500 -0.020619 19901024 0.000292
00036110 19901025 11.62500 -0.021053 19901025 -0.005902
00036110 19901026 11.00000 -0.053763 19901026 -0.015954
00036110 19901029 10.87500 -0.011364 19901029 -0.008762
00036110 19901030 10.62500 -0.022989 19901030 0.005000
00036110 19901031 10.50000 -0.011765 19901031 0.000589
00036110 19901101 10.25000 -0.023810 19901101 0.008676
00036110 19901102 10.25000 0.000000 19901102 0.014669
00036110 19901105 10.37500 0.012195 19901105 0.009245
00036110 19901106 10.37500 0.000000 19901106 -0.007181
00036110 19901107 10.00000 -0.036145 19901107 -0.015669
00036110 19901108 10.00000 0.000000 19901108 0.004652
00036110 19901109 10.25000 0.025000 19901109 0.017682
00036110 19901112 10.37500 0.012195 19901112 0.017351
00036110 19901113 10.87500 0.048193 19901113 -0.003734
00036110 19901114 10.87500 0.000000 19901114 0.007586
00036110 19901115 11.37500 0.045977 19901115 -0.008675
00036110 19901116 11.00000 -0.032967 19901116 0.000948
00036110 19901119 11.25000 0.022727 19901119 0.005697
00036110 19901120 11.50000 0.022222 19901120 -0.010012
00036110 19901121 11.75000 0.021739 19901121 0.000953
00036110 19901123 11.12500 -0.053191 19901123 -0.002254
00036110 19901126 11.25000 0.011236 19901126 0.003462
00036110 19901127 11.37500 0.011111 19901127 0.005700
00036110 19901128 11.37500 0.000000 19901128 0.000472
00036110 19901129 11.50000 0.010989 19901129 -0.004168
00036110 19901130 11.87500 0.032609 19901130 0.016495
00036110 19901203 12.12500 0.021053 19901203 0.006621
00036110 19901204 12.25000 0.010309 19901204 0.007118
00036110 19901205 13.75000 0.122449 19901205 0.010690
00036110 19901206 13.37500 -0.027273 19901206 -0.002019
00036110 19901207 13.12500 -0.018692 19901207 -0.003409
00036110 19901210 12.37500 -0.057143 19901210 0.002659
00036110 19901211 12.75000 0.030303 19901211 -0.005275
00036110 19901212 12.75000 0.000000 19901212 0.009454
00036110 19901213 10.25000 -0.196078 19901213 -0.001071
00036110 19901214 9.62500 -0.060976 19901214 -0.007392
00036110 19901217 9.25000 -0.038961 19901217 -0.003267
00036110 19901218 9.25000 0.000000 19901218 0.011460
00036110 19901219 9.62500 0.040541 19901219 0.000782
00036110 19901220 10.12500 0.051948 19901220 0.000334
00036110 19901221 10.00000 -0.012346 19901221 0.002946
00036110 19901224 9.87500 -0.012500 19901224 -0.003827
00036110 19901226 10.12500 0.025316 19901226 0.002950
00036110 19901227 10.00000 -0.012346 19901227 -0.005935
00036110 19901228 10.37500 0.037500 19901228 0.000411
00036110 19901231 11.50000 0.108434 19901231 0.004732
00036110 19910102 11.00000 -0.043478 19910102 -0.009358
00036110 19910103 11.00000 0.000000 19910103 -0.011735
00036110 19910104 10.87500 -0.011364 19910104 -0.002476
00036110 19910107 10.50000 -0.034483 19910107 -0.016102
00036110 19910108 10.25000 -0.023810 19910108 -0.002664
00036110 19910109 10.25000 0.000000 19910109 -0.009665
00036110 19910110 10.25000 0.000000 19910110 0.009080
00036110 19910111 10.25000 0.000000 19910111 0.000972
00036110 19910114 10.12500 -0.012195 19910114 -0.008684
00036110 19910115 9.87500 -0.024691 19910115 0.002995
00036110 19910116 9.87500 0.000000 19910116 0.007996
00036110 19910117 10.00000 0.012658 19910117 0.033564
00036110 19910118 9.75000 -0.025000 19910118 0.009737
00036110 19910121 9.62500 -0.012821 19910121 -0.001710
00036110 19910122 9.50000 -0.012987 19910122 -0.006398
00036110 19910123 9.62500 0.013158 19910123 0.005049
00036110 19910124 9.87500 0.025974 19910124 0.013834
00036110 19910125 10.62500 0.075949 19910125 0.003867
00036110 19910128 10.50000 -0.011765 19910128 0.000953
00036110 19910129 10.50000 0.011429 19910129 0.000000
00036110 19910130 11.75000 0.119048 19910130 0.014434
00036110 19910131 12.12500 0.031915 19910131 0.009000
00036110 19910201 11.87500 -0.020619 19910201 -0.000717
00036110 19910204 12.00000 0.010526 19910204 0.015482
00036110 19910205 12.50000 0.041667 19910205 0.009392
00036110 19910206 12.75000 0.020000 19910206 0.018040
00036110 19910207 13.00000 0.019608 19910207 -0.002650
00036110 19910208 13.25000 0.019231 19910208 0.006966
00036110 19910211 13.62500 0.028302 19910211 0.024217
00036110 19910212 13.25000 -0.027523 19910212 -0.006109
00036110 19910213 12.75000 -0.037736 19910213 0.008766
00036110 19910214 12.00000 -0.058824 19910214 -0.011492
00036110 19910215 12.87500 0.072917 19910215 0.011925
00036110 19910219 12.87500 0.000000 19910219 0.001255
00036110 19910220 12.37500 -0.038835 19910220 -0.010396
00036110 19910221 12.75000 0.030303 19910221 -0.000400
00036110 19910222 12.50000 -0.019608 19910222 0.001760
00036110 19910225 12.75000 0.020000 19910225 0.004324
00036110 19910226 12.75000 0.000000 19910226 -0.010854
00036110 19910227 12.75000 0.000000 19910227 0.012019
00036110 19910228 12.87500 0.009804 19910228 0.000257
00036110 19910301 13.62500 0.058252 19910301 0.008393
00036110 19910304 13.37500 -0.018349 19910304 -0.000269
00036110 19910305 13.87500 0.037383 19910305 0.017864
00036110 19910306 14.25000 0.027027 19910306 -0.001309
00036110 19910307 14.12500 -0.008772 19910307 -0.000252
00036110 19910308 15.00000 0.061947 19910308 -0.001854
00036110 19910311 15.00000 0.000000 19910311 -0.004287
00036110 19910312 14.00000 -0.066667 19910312 -0.007531
00036110 19910313 15.25000 0.089286 19910313 0.010256
00036110 19910314 15.25000 0.000000 19910314 -0.001531
00036110 19910315 15.25000 0.000000 19910315 -0.001955
00036110 19910318 15.00000 -0.016393 19910318 -0.002792
00036110 19910319 14.37500 -0.041667 19910319 -0.012971
00036110 19910320 14.62500 0.017391 19910320 0.003172
00036110 19910321 14.62500 0.000000 19910321 -0.002322
00036110 19910322 14.37500 -0.017094 19910322 0.001844
00036110 19910325 14.50000 0.008696 19910325 0.006155
00036110 19910326 14.75000 0.017241 19910326 0.015352
00036110 19910327 14.50000 -0.016949 19910327 -0.000964
00036110 19910328 14.00000 -0.034483 19910328 -0.000357
00036110 19910401 14.00000 0.000000 19910401 -0.008476
00036110 19910402 14.12500 0.008929 19910402 0.018919
00036110 19910403 14.37500 0.017699 19910403 0.000389
00036110 19910404 14.37500 0.000000 19910404 0.002900
00036110 19910405 14.37500 0.000000 19910405 -0.009677
00036110 19910408 13.75000 -0.043478 19910408 0.006738
00036110 19910409 13.62500 -0.009091 19910409 -0.010527
00036110 19910410 13.00000 -0.045872 19910410 -0.001627
00036110 19910411 13.00000 0.000000 19910411 0.010682
00036110 19910412 13.62500 0.048077 19910412 0.006185
00036110 19910415 13.75000 0.009174 19910415 0.002468
00036110 19910416 13.62500 -0.009091 19910416 0.014603
00036110 19910417 13.62500 0.000000 19910417 0.007603
00036110 19910418 14.62500 0.073394 19910418 -0.004258
00036110 19910419 14.62500 0.000000 19910419 -0.009741
00036110 19910422 14.50000 -0.008547 19910422 -0.008805
00036110 19910423 13.87500 -0.043103 19910423 0.001555
00036110 19910424 13.87500 0.000000 19910424 0.002602
00036110 19910425 14.00000 0.009009 19910425 -0.007635
00036110 19910426 13.37500 -0.044643 19910426 -0.001164
00036110 19910429 13.00000 -0.028037 19910429 -0.012395
00036110 19910430 12.87500 -0.000385 19910430 0.003405
00036110 19910501 12.75000 -0.009709 19910501 0.012717
00036110 19910502 13.37500 0.049020 19910502 0.001224
00036110 19910503 13.12500 -0.018692 19910503 0.000583
00036110 19910506 13.50000 0.028571 19910506 -0.001619
00036110 19910507 13.12500 -0.027778 19910507 -0.005636
00036110 19910508 13.37500 0.019048 19910508 0.002372
00036110 19910509 13.25000 -0.009346 19910509 0.011551
00036110 19910510 12.87500 -0.028302 19910510 -0.016594
00036110 19910513 12.75000 -0.009709 19910513 0.002036
00036110 19910514 12.87500 0.009804 19910514 -0.012041
00036110 19910515 12.62500 -0.019417 19910515 -0.008117
00036110 19910516 13.00000 0.029703 19910516 0.009364
00036110 19910517 13.25000 0.019231 19910517 -0.000109
00036110 19910520 12.87500 -0.028302 19910520 0.000208
00036110 19910521 13.00000 0.009709 19910521 0.007449
00036110 19910522 13.00000 0.000000 19910522 0.001717
00036110 19910523 13.00000 0.000000 19910523 -0.002122
00036110 19910524 13.00000 0.000000 19910524 0.006332
00036110 19910528 12.87500 -0.009615 19910528 0.010764
00036110 19910529 12.87500 0.000000 19910529 0.002478
00036110 19910530 13.75000 0.067961 19910530 0.010300
00036110 19910531 14.12500 0.027273 19910531 0.007285
00036110 19910603 14.50000 0.026549 19910603 -0.003171
00036110 19910604 15.00000 0.034483 19910604 -0.000454
00036110 19910605 14.87500 -0.008333 19910605 -0.005367
00036110 19910606 14.62500 -0.016807 19910606 -0.003155
00036110 19910607 14.00000 -0.042735 19910607 -0.009099
00036110 19910610 14.00000 0.000000 19910610 -0.001777
00036110 19910611 15.00000 0.071429 19910611 0.004840
00036110 19910612 14.87500 -0.008333 19910612 -0.010363
00036110 19910613 14.75000 -0.008403 19910613 0.002403
00036110 19910614 14.87500 0.008475 19910614 0.010684
00036110 19910617 15.12500 0.016807 19910617 -0.004088
00036110 19910618 15.62500 0.033058 19910618 -0.003315
00036110 19910619 15.12500 -0.032000 19910619 -0.008797
00036110 19910620 14.75000 -0.024793 19910620 0.000075
00036110 19910621 14.50000 -0.016949 19910621 0.004778
00036110 19910624 14.12500 -0.025862 19910624 -0.015851
00036110 19910625 14.00000 -0.008850 19910625 -0.001426
00036110 19910626 14.12500 0.008929 19910626 0.001570
00036110 19910627 14.00000 -0.008850 19910627 0.006733
00036110 19910628 15.50000 0.107143 19910628 -0.006822
00036110 19910701 14.87500 -0.040323 19910701 0.016320
00036110 19910702 15.25000 0.025210 19910702 -0.000469
00036110 19910703 14.62500 -0.040984 19910703 -0.009271
00036110 19910705 14.75000 0.008547 19910705 0.002228
00036110 19910708 15.00000 0.016949 19910708 0.007618
00036110 19910709 14.50000 -0.033333 19910709 -0.002125
00036110 19910710 14.62500 0.008621 19910710 -0.000523
00036110 19910711 14.62500 0.000000 19910711 0.002993
00036110 19910712 14.87500 0.017094 19910712 0.007400
00036110 19910715 15.25000 0.025210 19910715 0.006014
00036110 19910716 15.37500 0.008197 19910716 -0.001262
00036110 19910717 15.50000 0.008130 19910717 -0.000084
00036110 19910718 15.62500 0.008065 19910718 0.009254
00036110 19910719 15.25000 -0.024000 19910719 -0.002349
00036110 19910722 15.62500 0.024590 19910722 -0.003172
00036110 19910723 15.62500 0.000000 19910723 -0.008087
00036110 19910724 16.00000 0.024000 19910724 -0.002509
00036110 19910725 16.62500 0.039063 19910725 0.005240
00036110 19910726 16.62500 0.000000 19910726 0.000284
00036110 19910729 16.25000 -0.022556 19910729 0.005236
00036110 19910730 16.62500 0.030462 19910730 0.008529
00036110 19910731 16.62500 0.000000 19910731 0.003469
00036110 19910801 16.37500 -0.015038 19910801 -0.001580
00036110 19910802 16.12500 -0.015267 19910802 0.000541
00036110 19910805 16.00000 -0.007752 19910805 -0.004622
00036110 19910806 16.12500 0.007813 19910806 0.012857
00036110 19910807 16.62500 0.031008 19910807 0.000661
00036110 19910808 16.37500 -0.015038 19910808 -0.002188
00036110 19910809 16.37500 0.000000 19910809 -0.004169
00036110 19910812 16.87500 0.030534 19910812 0.001743
00036110 19910813 16.75000 -0.007407 19910813 0.003871
00036110 19910814 16.62500 -0.007463 19910814 0.001750
00036110 19910815 16.75000 0.007519 19910815 -0.000948
00036110 19910816 16.75000 0.000000 19910816 -0.008191
00036110 19910819 16.50000 -0.014925 19910819 -0.022270
00036110 19910820 16.12500 -0.022727 19910820 0.006813
00036110 19910821 16.75000 0.038760 19910821 0.026384
00036110 19910822 16.50000 -0.014925 19910822 0.002436
00036110 19910823 16.50000 0.000000 19910823 0.006257
00036110 19910826 16.50000 0.000000 19910826 -0.000380
00036110 19910827 16.12500 -0.022727 19910827 -0.001151
00036110 19910828 15.87500 -0.015504 19910828 0.008346
00036110 19910829 16.25000 0.023622 19910829 0.000023
00036110 19910830 16.25000 0.000000 19910830 -0.001496
00036110 19910903 16.25000 0.000000 19910903 -0.007078
00036110 19910904 16.12500 -0.007692 19910904 -0.005305
00036110 19910905 16.00000 -0.007752 19910905 -0.002552
00036110 19910906 15.87500 -0.007813 19910906 0.000168
00036110 19910909 15.62500 -0.015748 19910909 -0.001440
00036110 19910910 14.87500 -0.048000 19910910 -0.009649
00036110 19910911 15.25000 0.025210 19910911 0.001137
00036110 19910912 15.37500 0.008197 19910912 0.005742
00036110 19910913 15.00000 -0.024390 19910913 -0.008531
00036110 19910916 14.62500 -0.025000 19910916 0.005064
00036110 19910917 14.62500 0.000000 19910917 -0.000335
00036110 19910918 14.50000 -0.008547 19910918 0.003058
00036110 19910919 14.12500 -0.025862 19910919 0.002537
00036110 19910920 14.12500 0.000000 19910920 0.001358
00036110 19910923 13.87500 -0.017699 19910923 -0.004231
00036110 19910924 13.87500 0.000000 19910924 0.004654
00036110 19910925 14.00000 0.009009 19910925 -0.001991
00036110 19910926 13.75000 -0.017857 19910926 -0.000003
00036110 19910927 13.75000 0.000000 19910927 -0.001109
00036110 19910930 13.75000 0.000000 19910930 0.005615
00036110 19911001 13.25000 -0.036364 19911001 0.002706
00036110 19911002 12.62500 -0.047170 19911002 -0.002055
00036110 19911003 12.87500 0.019802 19911003 -0.008514
00036110 19911004 12.87500 0.000000 19911004 -0.006485
00036110 19911007 13.00000 0.009709 19911007 -0.005285
00036110 19911008 13.00000 0.000000 19911008 0.002719
00036110 19911009 12.75000 -0.019231 19911009 -0.008587
00036110 19911010 12.50000 -0.019608 19911010 0.007487
00036110 19911011 12.50000 0.000000 19911011 0.002602
00036110 19911014 12.50000 0.000000 19911014 0.011762
00036110 19911015 13.25000 0.060000 19911015 0.011361
00036110 19911016 13.62500 0.028302 19911016 0.005888
00036110 19911017 14.00000 0.027523 19911017 -0.001440
00036110 19911018 14.25000 0.017857 19911018 0.001406
00036110 19911021 14.25000 0.000000 19911021 -0.005770
00036110 19911022 14.12500 -0.000351 19911022 -0.004453
00036110 19911023 14.12500 0.000000 19911023 -0.000243
00036110 19911024 13.87500 -0.017699 19911024 -0.007148
00036110 19911025 14.12500 0.018018 19911025 -0.002370
00036110 19911028 14.37500 0.017699 19911028 0.011968
00036110 19911029 14.37500 0.000000 19911029 0.005392
00036110 19911030 14.12500 -0.017391 19911030 0.004240
00036110 19911031 14.12500 0.000000 19911031 0.000997
00036110 19911101 14.25000 0.008850 19911101 -0.002554
00036110 19911104 14.25000 0.000000 19911104 -0.002500
00036110 19911105 14.00000 -0.017544 19911105 -0.002913
00036110 19911106 14.37500 0.026786 19911106 0.003014
00036110 19911107 14.50000 0.008696 19911107 0.008728
00036110 19911108 14.25000 -0.017241 19911108 -0.000403
00036110 19911111 14.00000 -0.017544 19911111 0.001141
00036110 19911112 14.12500 0.008929 19911112 0.008607
00036110 19911113 13.75000 -0.026549 19911113 0.001467
00036110 19911114 13.62500 -0.009091 19911114 -0.000726
00036110 19911115 13.25000 -0.027523 19911115 -0.032695
00036110 19911118 12.87500 -0.028302 19911118 0.004888
00036110 19911119 12.87500 0.000000 19911119 -0.014566
00036110 19911120 12.37500 -0.038835 19911120 -0.002176
00036110 19911121 12.62500 0.020202 19911121 0.003605
00036110 19911122 12.25000 -0.029703 19911122 -0.009545
00036110 19911125 12.25000 0.000000 19911125 -0.002468
00036110 19911126 12.25000 0.000000 19911126 0.005598
00036110 19911127 12.37500 0.010204 19911127 -0.002453
00036110 19911129 12.37500 0.000000 19911129 -0.001910
00036110 19911202 12.37500 0.000000 19911202 0.013456
00036110 19911203 12.25000 -0.010101 19911203 0.000236
00036110 19911204 12.12500 -0.010204 19911204 -0.002025
00036110 19911205 12.12500 0.000000 19911205 -0.005430
00036110 19911206 12.00000 -0.010309 19911206 0.003650
00036110 19911209 11.75000 -0.020833 19911209 -0.002028
00036110 19911210 11.50000 -0.021277 19911210 -0.001147
00036110 19911211 11.50000 0.000000 19911211 -0.001597
00036110 19911212 11.87500 0.032609 19911212 0.008769
00036110 19911213 12.00000 0.010526 19911213 0.006762
00036110 19911216 12.25000 0.020833 19911216 0.000967
00036110 19911217 11.50000 -0.061224 19911217 -0.004412
00036110 19911218 11.00000 -0.043478 19911218 0.001310
00036110 19911219 10.75000 -0.022727 19911219 -0.002997
00036110 19911220 10.87500 0.011628 19911220 0.010740
00036110 19911223 11.00000 0.011494 19911223 0.023195
00036110 19911224 11.25000 0.022727 19911224 0.007800
00036110 19911226 11.50000 0.022222 19911226 0.013319
00036110 19911227 11.62500 0.010870 19911227 0.005409
00036110 19911230 12.87500 0.107527 19911230 0.019729
00036110 19911231 13.50000 0.048544 19911231 0.005312
Many thanks for the help.
Best wishes.
You can probably do it with three calls to proc Proc reg with a BY variable that is appropriately specified, one for quarter, semimonth and year.
You'll need to convert your date to a SAS date, and sort by date and then you can use a format to specify the intervals the regression.
for example for quarters:
ods table parameterestimates=quarterly estimates;
proc reg data=have;
by date;
model .....;
format date yyq6.;
run;
Start off by getting the regression code correctly specified and figuring out how to capture the output for the parameters, see sample above for quarters.
You can probably do it with three calls to proc Proc reg with a BY variable that is appropriately specified, one for quarter, semimonth and year.
You'll need to convert your date to a SAS date, and sort by date and then you can use a format to specify the intervals the regression.
for example for quarters:
ods table parameterestimates=quarterly estimates;
proc reg data=have;
by date;
model .....;
format date yyq6.;
run;
Start off by getting the regression code correctly specified and figuring out how to capture the output for the parameters, see sample above for quarters.
Hi Reeza
This code gives me the output in the results window, with all the graphs which I do not need and it takes a lot of time until the regression is finished because I have about 400 firms in my data set. I tried it with the command output out=want; but the regression does not work anymore. I need the slope coefficients in a table and next to slope coefficients the dates like 1990Q1 1990Q2 and so on. This means one slope coefficient for 1990Q1, one slope coefficient for 199Q2 and so on...
Thanks for your help
Did you check the output in the quarterly_estimates file? I accidently left a space in the name but if you add an underscore it should produce a dataset called quarterly estimates with the by variables included. you can also restrict the output to the results viewer, using ODS Select or you can even close the listing destination totally so you have no output.
The speed is limited by how fast your computer is.
ods listing close;
*or;
*ods select parameterestimates;
ods table parameterestimates=quarterly_estimates;
proc reg data=have;
by date;
model .....;
format date yyq6.;
run;
ods listing;
I checked the quarterly_estimates file. Now it works,great. Do you know a suitable sas date format for half year intervals? I found the format year6. for the yearly interval.
Thanky for your help.
No I don't. Do you have SAS 9.3?
If so you can create your own function in terms of a format and apply that.
If you have 9.2 then you could hardcode the format if you knew the range of years, but it would allow you to have similar code.
Hi Reeza
I have SAS 9.3. I created my own function, now the last problem is also solved!Thank you very much for your help!
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