Hi Guys,
I am trying to calculate the square root of the variance of the residual of a regression.
Basically if the regression is the following:
R= a+ b1.MKT+ b2.SMB + B3.HML+ B4.UMD + E
Then I am trying to compute X, where
X = √ var(E).
PS: Also, can the result be stored in a SAS dat. file, because I need to merge it to the original data set later on.
Thanks a lot for the help guys! Appreciate it!
Proc reg will give you the root mean square error as part of the fit statistics. You can output them in dataset myStats :
proc reg data=myData plots=none;
model R = MKT SMB HML UMD;
ods output FitStatistics=myStats;
run;
PG
Proc reg will give you the root mean square error as part of the fit statistics. You can output them in dataset myStats :
proc reg data=myData plots=none;
model R = MKT SMB HML UMD;
ods output FitStatistics=myStats;
run;
PG
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