Proc Robustreg

[deleted_user]

Hello and great forum!!

I have undertaken a fixed income portfolio analysis for one of my University's endowment funds, and I am working on a model to calculate returns. I have constructed a multiple linear equation and know one of the regressor coefficients. Does anyone know of a way for me to hold the known value constant, while letting sas adjust the coefficients on the other independent variables?

Any help or direction is greatly appreciated!

Tim

[Paige]

ROBUSTREG wasn't designed for this situation.

A possible way around this would be to fit the model with the known coefficient, and then compute residuals and do ROBUSTREG on the residuals. I haven't thought this through 100% to convince myself that is reasonable, but it sounds like it would work at first glance.

[Dale]

If you have the model

  Y = b0 + b1*X1 + b2*X2 + ... + bk*Xk + C*Z

where C is known a priori, then you can rewrite the equation as:

  Y* = Y - C*Z = b0 + b1*X1 + b2*X2 + ... + bk*Xk

So, all you need to do is to construct a new response variable in which you subtract the known effect from the original response. You can then fit your model employing this new response and predictors X1, X2, ..., Xk.

[deleted_user]

Thank you, Paige and Dale!

My data now looks great!

Tim