Hey Miller, Thank You for your suggestion. But your suggested commend hasn't solved my problem. When I run proc reg by year month permno, It gives me missing. Because of limiting to year month and permno, only one observation remain per model. That is why, previous papers recommend to use monthly lag 7 through lag 42 on the model. What I need is to write a commend of "proc reg" for one model by year month permno when lags consider as observations on the model. My model is : model VWRETD=SMB HML Mkt_RF My data is monthly. I need to have "coefficient var" of the model per month and per permno. please look at the following commends. I also add ridge to model. but I am not sure, it is right to reach "coeff var" proc sort data=a; by PERMNO month year; run; proc reg data=a outvif outest=b ridge=0 to 0.02 by .002; m1: model VWRETD=SMB HML Mkt_RF; by PERMNO month year; run; proc print data=b; run;
... View more