run regression by groups

[ADou]

Hi experts,

As in my txt file, I want to regress R1 on R2 in the group of permno. And for each permno, I wanna get the coefficient of its regression. Is it possible to get a set of the coefficients corresponding to each permno? Thanks a lot!!

[Reeza]

Add the variable you want to have it into your BY statement? Have you tried adding a BY statement to your model?

[ADou]

Yes, I tried the codes below, but my system always crash when I run this step. 

proc reg data=reg;
model ret1=ret2;
by permno;
run;

[Reeza]

Do you get an error message of some kind? Try putting the BY statement before the MODEL, and you need to have a QUIT instead of RUN.

[ADou]

I put the BY before model, but the system still crash again. And it seems it creates only the report, not a collection of the coefficients.

[Reeza]

I would actually turn off output. You haven't specified anything in the output to capture the output, so no output would be captured.
https://blogs.sas.com/content/iml/2017/02/13/run-1000-regressions.html