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ADou · ‎05-09-2019

Thank you! Is it Wald test? Can I get wald Chi-square in this way?

ADou · ‎05-09-2019

Hi all, I have two sub-samples, I also run regressions for the two samples separately. For sample1: y=x1+x2; for sample2 y=x1+x2. Now I want to test whether the two coefficients of x1 are significantly different? Should I use Wald test and how to realize it? Thanks in advance!

ADou · ‎02-12-2019

Thank you very much! I'll try that.

ADou · ‎02-12-2019

Thank you! I drop all my industry dummies and the warning disappeared. Does that mean among the industry dummies, there are the same or opposite variables?

ADou · ‎02-12-2019

Yes. That's why I have 24 year dummies and 47 industry dummy variables.

ADou · ‎02-12-2019

Hi Experts, Now I have the following 2SLS model: I have 25 year dummy variables and 48 industry dummies, which are shown yr1-yr24 and ind1-ind47. proc syslin data=robtest1 2sls first; endogenous lev; instruments bcg_mtrnoint logpps size logavg mtb pci yr1-yr24 ind1-ind47; model wage = logpps lev size logavg mtb pci yr1-yr24 ind1-ind47; run; When I run it, the log shows WARNING: The model is not of full rank. Least Squares solutions for parameters are not unique. Certain statistics will be misleading. A reported degree of freedom of 0 or B means the estimate is biased. And my 1st ad 2nd stage results show "intercept" with DF "0". What does the warning mean and how do I correct my model? Thanks a lot!!!

ADou · ‎02-09-2019

Hi experts, Now I have my dependent variable y, and independent variables x1,x2,x3,x4. I have an instrument variable for x1 which is x5 and I want to do 2SLS regression to test robustness. I want my first stage to be: x1=a1x5+a2x2+a3x3+a4x4; and my second stage regression is： y=a1x1'+a2x2+a3x3+a4x4,where x1' is the fitted value of the first stage. How to do this in SAS? Thanks a lot!!!

ADou · ‎02-04-2019

Hi Experts, I have 25 parameters and I want to do joint test for the 25 parameters. What's the codes for the joint F test? Thanks a lot!!!

ADou · ‎02-04-2019

Thanks! I don't need the correlations among all the dependent variables, just want to run the OLS regression for each dependent variable(a1.....a25). So could you give me a code sample to do this?

ADou · ‎02-03-2019

Hi Experts, a1 a2 a3.....a25 x1 x2 x3 Now I have 28 columns of variables as above. I want to run regressions with a1,a2......a25 to be my dependent variables respectively, and x1, x2,x3 to be my independent variables all the time. Is there any simple way to do that without repeating the regression 25 times? Thanks a lot!!

ADou · ‎01-21-2019

I put the BY before model, but the system still crash again. And it seems it creates only the report, not a collection of the coefficients.

ADou · ‎01-21-2019

Yes, I tried the codes below, but my system always crash when I run this step. proc reg data=reg; model ret1=ret2; by permno; run;

ADou · ‎01-21-2019

Hi experts, As in my txt file, I want to regress R1 on R2 in the group of permno. And for each permno, I wanna get the coefficient of its regression. Is it possible to get a set of the coefficients corresponding to each permno? Thanks a lot!!

ADou · ‎01-09-2019

Thanks a lot!! It works well!

ADou · ‎01-09-2019

Sure. The attached is my expected output sample. Thank you!

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