05-27-2013 08:44 AM
I would like to do a multivariate regression is SAS
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.
05-30-2013 02:07 PM
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.