How to calculate Akaike Information Criterion (AIC) in Proc quantreg ?

[mahershams]

Dear concern

I have estimated the proc quantreg but the regression output does not provide me any model statistics. Can you please suggest me what code i need to add in my model to get the AIC model statistics? This is my SAS code:

proc quantreg data=final;
model mm5day = lnaltbid public stockonly relatedacq Targethightechdummy caltbidpub
correctRelSize AcqExperience Tenderoffer directorsrecomm Serialbidder5 schemeofarrangement
lnlagmcap LAGTDEBTTOTASSET LAGCashH LagTobinQ lagroa
y2000-y2014
Consumergoods ConsumerServices basicmaterials financials utilities telecommunications technology healthcare
industrials oilgas/quantile=0.25 .50 .75;
where year>=2000 and year<=2014;
quit;

[Cynthia_sas]

Hi:
In looking at the QUANTREG doc, I don't think I see an AIC option: http://support.sas.com/documentation/cdl/en/statug/68162/HTML/default/viewer.htm#statug_qreg_syntax0...

However, in looking at the documentation for GLMSELECT, it appears that you can ask for AIC, AICC and BIC statistics with that procedure: https://support.sas.com/documentation/cdl/en/statug/63347/HTML/default/viewer.htm#statug_glmselect_s... and the example here: https://support.sas.com/documentation/cdl/en/statug/63347/HTML/default/viewer.htm#statug_glmselect_s... shows code that generates all 3 statistics.

In addition, this 2016 user group paper discusses and shows the use of the choose=aic option in procs GLMSELECT and HPGENSELECT: http://support.sas.com/resources/papers/proceedings16/SAS4900-2016.pdf

Hope this helps,
cynthia

[mahershams]

Hi Cynthia

Thanks for the information. I understand that you suggest me GLMSELECT to solve this problem. However, I have used quantreg model. How this works together?

Is it possible to indicate me what i need to modify in my model to get the AIC using quantreg?

Thanks in advance for your time.

Cheers

Shams

[Cynthia_sas]

Hi:
I suggest you look in the QUANTREG documentation (link in my previous posting in the first sentence) to see whether there is an AIC option for the procedure. If there is NOT an option for the procedure, then you might need to consider switching to a different procedure.

cynthia

[mahershams]

Hi Cynthia

Thanks for your reply. I search every where in SAS procedures but I could
not find anything yet. But I found a paper which reports this model
statistics for QUANTREG. I know that it can be done but I do not know how
to generate them in this model.

So is there any other SAS group where I can get some hints on how to
get/calculate it from the outputs generated by SAS.

Cheers
Shams

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