Hello everybody,
Consider the following regression:
Y=a+b*X+(Erorr Term)
I want to regress independent variable (X) on quantiles (eg. 0.2, 0.5 and 0.8) of dependent variable (Y) using GLM. So, there are three regressions for this example:
2th quantile of Y = AX
5th quantile of Y = AX
8th quantile of Y = AX
How can I do that?
Thanks in advance.
SAS supports several quantile regression procedures, including QUANTREG, QUANTSELECT, and QUANTLIFE. For an introduction to quantile regression, including references and an example, see the article "Quantile Regression", which includes links to the documentation for each of these procedures.
Hi,
Can you share a sample data for this analysis?
Here is a sample of my data:
data WORK.SAMPLEDATA_SUMVOLSO02; infile datalines dsd truncover; input TRD_STCK_CD:$15. TRD_PR:32. TRD_TUROVR:14. TRD_EVENT_DT:DATE9. TRD_EVENT_TM:TIME5. TRD_EVENT_ROUNDED:32. TRD_EVENT_ROUFOR:$5. CountedVOLUME:32. DailyVolume:32. IntradayVolume:32.; format TRD_TUROVR 14. TRD_EVENT_DT DATE9. TRD_EVENT_TM TIME5.; label TRD_STCK_CD="TRD_STCK_CD" TRD_PR="TRD_PR" TRD_TUROVR="TRD_TUROVR" TRD_EVENT_DT="TRD_EVENT_DT"; datalines4; BALI1,850,9260,24MAR2008,9:14,34200,9:30,7871000,, BALI1,850,2000,23MAR2008,9:15,34200,9:30,1700000,, BALI1,850,10000,22MAR2008,9:15,34200,9:30,8500000,, BALI1,850,6000,21MAR2008,9:15,34200,9:30,5100000,, BALI1,850,10000,20MAR2008,9:29,34200,9:30,8500000,31671000,31671000 BANK1,1164,10729,20MAR2008,9:38,36000,10:00,12488556,,12488556 BANK1,1148,2000,21MAR2008,11:24,41400,11:30,2296000,, BANK1,1147,1575,22MAR2008,11:24,41400,11:30,1806525,16591081,4102525 BHMN1,1013,1500,14MAR2008,9:00,34200,9:30,1519500,, BHMN1,1013,1500,15MAR2008,9:00,34200,9:30,1519500,, BHMN1,1013,1500,16MAR2008,9:00,34200,9:30,1519500,, BHMN1,1013,1500,17MAR2008,9:00,34200,9:30,1519500,, BHMN1,1013,1500,18MAR2008,9:00,34200,9:30,1519500,, BHMN1,1013,1500,19MAR2008,9:00,34200,9:30,1519500,, BHMN1,1013,1000,20MAR2008,9:00,34200,9:30,1013000,, BHMN1,1013,450,21MAR2008,9:00,34200,9:30,455850,, BHMN1,1013,1500,22MAR2008,9:00,34200,9:30,1519500,, BHMN1,1013,1500,23MAR2008,9:00,34200,9:30,1519500,, BHMN1,1013,1500,24MAR2008,9:04,34200,9:30,1519500,, BHMN1,1013,1500,25MAR2008,9:04,34200,9:30,1519500,, BHMN1,1013,601,26MAR2008,9:05,34200,9:30,608813,, BHMN1,1013,697,27MAR2008,9:06,34200,9:30,706061,, BHMN1,1013,1500,28MAR2008,9:08,34200,9:30,1519500,, BHMN1,1013,1500,29MAR2008,9:08,34200,9:30,1519500,, BHMN1,1013,1500,12MAR2008,9:09,34200,9:30,1519500,, BHMN1,1013,1500,13MAR2008,9:16,34200,9:30,1519500,, BHMN1,1013,1500,14MAR2008,9:22,34200,9:30,1519500,,25576224 BHMN1,1013,1500,15MAR2008,9:41,36000,10:00,1519500,,1519500 BHMN1,1013,1500,16MAR2008,10:13,37800,10:30,1519500,, BHMN1,1013,1500,17MAR2008,10:13,37800,10:30,1519500,,3039000 BHMN1,1013,1500,18MAR2008,11:25,41400,11:30,1519500,,1519500 BHMN1,1013,1500,19MAR2008,11:51,43200,12:00,1519500,33173724,1519500 CHML1,12000,745,20MAR2008,9:00,34200,9:30,8940000,, CHML1,12000,82,21MAR2008,9:00,34200,9:30,984000,, CHML1,11998,206,22MAR2008,9:07,34200,9:30,2471588,, CHML1,11998,414,23MAR2008,9:09,34200,9:30,4967172,, CHML1,11998,348,24MAR2008,9:12,34200,9:30,4175304,, CHML1,11996,82,25MAR2008,9:15,34200,9:30,983672,, CHML1,11996,1240,26MAR2008,9:16,34200,9:30,14875040,, CHML1,11996,414,27MAR2008,9:17,34200,9:30,4966344,, CHML1,11970,1000,28MAR2008,9:21,34200,9:30,11970000,, CHML1,11964,158,29MAR2008,9:22,34200,9:30,1890312,, CHML1,11990,1946,20MAR2008,9:23,34200,9:30,23332540,,79555972 CHML1,11851,500,19MAR2008,10:42,39600,11:00,5925500,, CHML1,11852,1054,18MAR2008,10:44,39600,11:00,12492008,, CHML1,11900,2000,17MAR2008,10:56,39600,11:00,23800000,,42217508 CHML1,11913,244,16MAR2008,11:08,41400,11:30,2906772,, CHML1,11913,56,15MAR2008,11:09,41400,11:30,667128,, CHML1,11968,944,14MAR2008,11:13,41400,11:30,11297792,, CHML1,11968,2056,13MAR2008,11:27,41400,11:30,24606208,, CHML1,11987,380,14MAR2008,11:29,41400,11:30,4555060,,44032960 CHML1,11988,620,11MAR2008,11:30,43200,12:00,7432560,, CHML1,11981,1663,12MAR2008,11:52,43200,12:00,19924403,, CHML1,11981,765,24MAR2008,11:52,43200,12:00,9165465,202328868,36522428 CRBN1,1486,1700,22MAR2008,9:00,34200,9:30,2526200,, CRBN1,1485,3353,24MAR2008,9:21,34200,9:30,4979205,7505405,7505405 DADE1,1685,2972,24MAR2008,10:04,37800,10:30,5007820,,5007820 DADE1,1632,2000,20MAR2008,11:49,43200,12:00,3264000,, DADE1,1631,5000,21MAR2008,11:49,43200,12:00,8155000,, DADE1,1630,3000,22MAR2008,11:49,43200,12:00,4890000,, DADE1,1630,2000,23MAR2008,11:50,43200,12:00,3260000,, DADE1,1630,8000,24MAR2008,11:50,43200,12:00,13040000,37616820,32609000 DFRB1,7450,124,24MAR2008,10:54,39600,11:00,923800,,923800 DFRB1,7450,132,24MAR2008,11:16,41400,11:30,983400,1907200,983400 DJBR1,7491,3000,24MAR2008,10:06,37800,10:30,22473000,22473000,22473000 DRZK1,14890,72,24MAR2008,11:58,43200,12:00,1072080,1072080,1072080 FIBR1,2846,100,24MAR2008,11:17,41400,11:30,284600,284600,284600 FKAS1,3584,5173,20MAR2008,9:15,34200,9:30,18540032,, FKAS1,3584,3000,21MAR2008,9:15,34200,9:30,10752000,, FKAS1,3585,1827,22MAR2008,9:15,34200,9:30,6549795,,35841827 FKAS1,3585,183,23MAR2008,9:35,36000,10:00,656055,, FKAS1,3585,3200,24MAR2008,9:35,36000,10:00,11472000,,12128055 FKAS1,3539,2000,25MAR2008,11:02,41400,11:30,7078000,, FKAS1,3538,8000,26MAR2008,11:02,41400,11:30,28304000,, FKAS1,3538,2000,27MAR2008,11:02,41400,11:30,7076000,, FKAS1,3537,8000,28MAR2008,11:02,41400,11:30,28296000,, FKAS1,3537,2000,29MAR2008,11:02,41400,11:30,7074000,, FKAS1,3535,8000,20MAR2008,11:02,41400,11:30,28280000,, FKAS1,3535,2000,19MAR2008,11:03,41400,11:30,7070000,, FKAS1,3535,6617,18MAR2008,11:03,41400,11:30,23391095,, FKAS1,3533,100,17MAR2008,11:03,41400,11:30,353300,, FKAS1,3533,1283,16MAR2008,11:07,41400,11:30,4532839,, FKAS1,3533,2763,15MAR2008,11:08,41400,11:30,9761679,, FKAS1,3529,10000,14MAR2008,11:15,41400,11:30,35290000,, FKAS1,3516,10000,13MAR2008,11:17,41400,11:30,35160000,, FKAS1,3516,10000,12MAR2008,11:19,41400,11:30,35160000,, FKAS1,3516,39,11MAR2008,11:19,41400,11:30,137124,, FKAS1,3515,2000,19MAR2008,11:25,41400,11:30,7030000,, FKAS1,3515,198,24MAR2008,11:25,41400,11:30,695970,, FKAS1,3515,9802,20MAR2008,11:25,41400,11:30,34454030,,299144037 FKAS1,3515,4000,21MAR2008,11:48,43200,12:00,14060000,, FKAS1,3513,6000,22MAR2008,11:52,43200,12:00,21078000,, FKAS1,3514,2000,23MAR2008,11:52,43200,12:00,7028000,, FKAS1,3514,1085,24MAR2008,11:52,43200,12:00,3812690,, FKAS1,3500,1000,25MAR2008,11:56,43200,12:00,3500000,396592609,49478690 FOLD1,3198,390,24MAR2008,9:09,34200,9:30,1247220,,1247220 FOLD1,3197,2000,27MAR2008,10:31,39600,11:00,6394000,, FOLD1,3191,2000,28MAR2008,10:32,39600,11:00,6382000,, FOLD1,3190,4000,20MAR2008,10:33,39600,11:00,12760000,, FOLD1,3190,542,18MAR2008,10:33,39600,11:00,1728980,, ;;;;
The simple regression model is:
title1 'Regressing dummies on intraday volume for filtered data and with firm fixed effect';
Proc glm DATA=Sampledata_adjvol;
absorb TRD_STCK_CD;
class TRD_EVENT_ROUFOR;
model CountedVOLUME = TRD_EVENT_ROUFOR / solution;
run;
Thanks in advance
Check if proc quantreg does what you want.
SAS supports several quantile regression procedures, including QUANTREG, QUANTSELECT, and QUANTLIFE. For an introduction to quantile regression, including references and an example, see the article "Quantile Regression", which includes links to the documentation for each of these procedures.
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