How to get R-square for individual time-series group

[amanda_cz]

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:

[SteveDenham]

Try using ODS to get a dataset with the R squared values:

PROC AUTOREG DATA=TS;

by firm_id;

MODEL price=bps;

OUTPUT OUT=OUT1;

ods output fitstatistics=fitstatistics;

RUN;

This will generate a dataset in your WORK library with the regression R squared values for each BY variable.

Steve Denham