rolling regression in unbalanced panel data - SAS Support Communities

Fluorite | Level 6

Fluorite | Level 6

rolling regression in unbalanced panel data

Posted 06-29-2016 08:57 AM (2055 views)

hi guys,

I have a unbalanced panel data with 2 to 29 years for each firms.I want to run rolling regression. Is it possible to do that in SAS?

1 REPLY 1

Obsidian | Level 7

Obsidian | Level 7

Re: rolling regression in unbalanced panel data

Posted 07-06-2016 08:02 AM (2045 views) | In reply to statir

you can find information about rolling regressin in SAS:

http://www.lexjansen.com/nesug/nesug07/sa/sa04.pdf

http://www.sas-programming.com/2011/08/rolling-analysis-of-time-series.html

http://www.lexjansen.com/nesug/nesug12/fi/fi08.pdf

the procedure can be:

Proc FCMP

Proc REG

hope this help

have nice day

let me know

MC

Martino Crippa