Hi, I am a SAS toddler and running a regression model using dummy variable for an event study. My model is Realized Return = Expected Return + Dummy for event day (Day -10 to Day +10) proc reg data=work.germanyindex; model RR = ER DB10 DB09 DB08 DB07 DB06 DB05 DB04 DB03 DB02 DB01 DDAY DA01 DA02 DA03 DA04 DA05 DA06 DA07 DA08 DA09 DA10; run; In the model, RR means realized return, and ER is expected return, and DB10 to DA10 is date dummy consist of 0 or 1. I have around 270 observations in my dataset. However, if I run this regression, SAS says: Note: Model is not full rank. Least-squares solutions for the parameters are not unique. Some statistics will be misleading. A reported DF of 0 or B means that the estimate is biased. Note: The following parameters have been set to 0, since the variables are a linear combination of other variables as shown. and I cannot get coefficient of ER variable nor std. error, t-stats, and prob. I do not know what can I do for this. Is it a data problem? or coding? I attached my dataset just in case. I will appreciate your help.
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