Hi! I am running a time series model with multiple firms with multiple years of observation (more than 10,000 observations). I want to get R-squares for individual firms. I know that r-square will show up in the individual firms' output report.But I don't know how to obtain a data file includes both firm_id and also R-square for each firm. Any suggestion will be appreciated.
The following is my SAS data and code information.
my basic code is
PROC AUTOREG DATA=TS;
by firm_id;
MODEL price=bps;
OUTPUT OUT=OUT1;
RUN;
Original data sample: