I ran a cross-sectional regression (across 500 stocks) for a particular month. It is repeated for other 60 months (say yymonth is 201001-201512). Then, the average (across time) coefficients are calculated. proc reg data=a outest=b tableout noprint; model y = x1 x2 x3 / adjrsq ; output out=RES r=rRESID; by yymonth; Now I need to run proc syslin SUR grouping all the 60 months together. Does anyone know how to 'choose' a month's data into each model equation? I think the code goes like this: proc syslin data = a sur; model1: model y = x1 x2 x3; <----this one include only 2010Jan model2: model y = x1 x2 x3; <----this one include only 2010Feb ... model60: model y = x1 x2 x3; <----this one include only 2015Dec run; Thanks for your help!!
... View more