Programming the statistical procedures from SAS

Multivariate regression

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Frequent Contributor
Posts: 75

Multivariate regression

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.

Respected Advisor
Posts: 2,655

Re: Multivariate regression

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

Frequent Contributor
Posts: 75

Re: Multivariate regression

Thanks!

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