Ksharp, In my data, I have millions of data. These are daily return data as I stated in my original post. I use the following code proc reg data = have outest=want noprint; by gvkey fyear; model ret = mktrtrn; run; My confusion is that since I have date (daily), should I use fyear or date in by statement? I tried both and see that there is (zero) coefficient of beta when I use date but if I use fyear, I get different beta coefficient (expected results) in the output. When I use by gvkey fyear statement, the out put is yearly. I think the yearly coefficients come from daily return regression. If this is correct, this is what I want. I want to make sure that I am doing things correctly by using fyear not date in by statement as shown above in the syntax. Is there any difference in the out put if I use proc reg instead of proc panel. I am using the following code for proc panel proc panel data=have noprint outest=want1; model ret = mktrtrn / rantwo; id gvkey date; run; ---- here I am using date because SAS is giving me error message if I use fyear. It says first obs is 2002 and 2nd is also 2002.So, they are not sorted properly though I sorted them by gvkey fyear. If I do by gvkey and date SAS says that not enough memory Could you please tell me whether I am doing things correctly by using proc reg? If I want to use proc panel what would be the correct code? gvkey date fyear ret mktrtrn 1004 20020102 2002 0.05 0.0089051 1004 20020103 2002 0.176 0.003451 1004 20020104 2002 0.001 0.0235 . . . . . . . . . . . . . . . 1004 20021227 2002 0.0235 0.0035651 1004 20021230 2002 0.11276 0.1805 5250 20030102 2003 0.003451 0.00567451 5250 20030103 2003 0.0012451 0.176 5250 20030104 2003 0.0089051 0.001 . . . . . . . . . . . . . . . 5250 20031227 2003 0.0035651 0.11276 5250 20031230 2003 0.00567451 0.0012451
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