proc reg issue

[kashili]

I have timeseries of 10 different stocks for 25 days. I first normalize ther price of each stock for every day. Then I have to run regression of every stock with 9 other stocks for every day separately and report out SSE in ascending order(so I will have 9*10*SSE).

*this works correctly;

proc standard data=r.mktdata MEAN=0 STD=1 out=r.norm_mktdata;

      by symbol date;

   var zprice;

   run;

*following is where the problem is;

proc reg data=r.norm_mktdata ;

   by symbol date;

   zprice=zprice;

   run;

However I get following error "ERROR 180-322: Statement is not valid or it is used out of proper order." I believe I am getting this error because dependent and indepdent variables are same in proc reg. How to 1)fix this error and 2)generate SSE in ascending order

Thank you

[Reeza · Accepted solution]

Your missing a model statement and having the same dependent and independent variable wouldn't result in anything.

I think you'll need to reformat your data so that you have two different variables. If you're doing things over time you may want to refer to the time series procedures.

[PGStats]

Following 's comments, and assuming there is a time variable in r.norm_mktData, you would need something like (untested) :

/* Reshape the data into a WIDE format */

proc sort data=r.norm_mktdata out=mktdataSort; by date time symbol; run;

proc transpose data=mktdataSort out=mktDataTable prefix=s_;
by date time;
var zprice;
id symbol;
run;

/* Create copies of the data where each symbol becomes the dependent

     variable and is removed from the regressors */

data mktDataAll;
length depName $32;
set mktDataTable;
array s{*} s_:;
do _n_ = 1 to dim(s);
     depName = vname(s{_n_});
     depValue = s{_n_};
     call missing(s{_n_});
     output;
     s{_n_} = depValue;
     end;
run;

/* Run all regressions, collect the results in dataset mktDataSSE */

proc sort data=mktDataAll; by date depName time; run;

proc reg data=mktDataAll SSE outest=mktDataSSE noprint;
by date depName;
model depValue = s_:;
run;

The SSEs should be in dataset mktDataSSE.

PG