Hello, So, I have a dataset that has around 200-250 daily stock returns data for one firm (permno) - one year (fiscal year) pair. I'm trying to get the standard error of the predicted value (stdp) & the standard error of the residuals (stdr) from the regression for each firm-year pair. After sorting my dataset, I'm trying to use the following code: proc reg data=risk3_1;
by permno fyear;
model exret=mktrf;
output out=est stdp=stdp stdr=stdr;
quit; This clearly does not give me the desired output. Also, it just churns out 'stdp' and 'stdr' for each day (It's too many!!). Thank you for your help in advance.
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