How to regress X on quantiles of Y?

[aminkarimid]

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.

[stat_sas]

Hi,

Can you share a sample data for this analysis?

[aminkarimid]

 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
 

[PGStats]

Check if proc quantreg does what you want.

[Rick_SAS · Accepted solution]

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.