Multivariate regression

[thdang]

Hi everyone,

I would like to do a multivariate regression is SAS

R_t=beta1*(labda1-E(factor1_t))+beta2*factor2_t+beta1*factor1_t+ e

the thing is labda1 is an estimator of 1 number while betas are estimators of  10*1 vector because R_t consists of time-series data of 10 different portfolios.

How can I implement this in SAS? Thanks you very much.

[SteveDenham]

The SAS Forecasting and Econometrics forum can give you far more detailed advice on this question.  There are a variety of procedures in SAS/ETS that might apply.

Steve Denham

[thdang]

Thanks!