About igsteo

igsteo · ‎05-05-2021

ods output ParameterEstimates = capmparam (keep= dsName Variable Estimate); proc autoreg data=longcapm; by dsname; model stockreturn = wtindexreturn / dwprob; test wtindexreturn = 1; output out=capmout p=p r=r ucl=u lcl=l alphacli=.10; run; In ods output, i wish to include the 'Total R-Square'. However i am not sure how to specify it in keep=. I would appreciate some assistance on this!

igsteo · ‎04-13-2021

/* Multiple Regression */ data fflib.temp2; set fflib.famafrenchvariables; by date; array y[36] AAREIT_SP_Equity -- SUN_SP_Equity; do varNum = 1 to dim(y); varName = vname(y[varNum]); Reit_rp = y[varNum]; output; end; drop AAREIT_SP_Equity -- SUN_SP_Equity; run; proc sort data=fflib.temp2; by varName; run; ods output ParameterEstimates = fflib.ffparam5yrs (keep= varName Variable Estimate) ; proc autoreg data=fflib.temp2; by varName; model Reit_rp = Mkt_rp smb hml/ dwprob; test Mkt_rp = 1; output out=fflib.famafrenchoutput p=p r=r ucl=u lcl=l alphacli=.10; run; I am having problems doing a multiple regression for fama and french. The above are my codes and these codes only regress mkt_rp. How should i amend this to regress mkt_rp, smb and hml. thank you

igsteo · ‎04-13-2021

thank you so much!

igsteo · ‎04-12-2021

Example: mktweight16=m16/mktcap16 by stock i will carry this out for data from 2016 - 2020

igsteo · ‎04-12-2021

Variables in totalmktcap: mktcap16--mktcap20 Variables in decme2_all: stock me16--me20 I am trying to calculate the weightage of every stock per year i.e. from 2016 to 2020. However, that means dividing values from two different data sets. I need help to code this. It would be much appreciated Thank you everyone!

igsteo · ‎04-07-2021

data fflib.Mnme_all; set fflib.me_all; if eod2=0 then set fflib.me_all (firstobs=2 keep=date rename=(date=nxt_date)) end=eod2; else nxt_date='31dec2030'd; if intck('month',date,nxt_date)>0; run; I wish to filter only December data. I am not sure what's the code for it and require some assistance. Thank you!

igsteo · ‎02-05-2021

array stock AEquity -- SEquity; do over stock; proc autoreg data=capmvariables; by stock; model stock = Mkt_rp / dwprob; test Mkt_rp = 1; output out=mylib.reitout p=p r=r ucl=u lcl=l alphacli=.10; title2; title3; end; run; Is there a way to combine an array to perform the following regression code i already have above? My dependent variable is as in the table 'Mkt_rp' and dependent variables are all stocks in the array. Thank you

igsteo · ‎02-05-2021

igsteo · ‎02-05-2021

proc sql; create table reits_rp as select a.*, b.date, b.VAR3, a.*/b.VAR3 as reit_rp from return as a, bondyield as b where a.date=b.date; quit; a= picture showing stock returns b= picture showing bond yield As show above my codes using proc sql i would like to form a new table where every stock returns (a) minus yield (b) and by date. However, the log reflects an error in ' a.*/b.VAR3' How do i rectify this? Thank you

igsteo · ‎02-04-2021

data price; set pricedata; if date=intnx('weekday',intnx('month',date,0,'e'),0); run; These are my current codes which works except that two months are still missing i.e. 30th july 2020 and 29th December 2020. How should i modify the codes such that it reflects these two specific data as well? alternative method i was thinking is could i specify that 31st July 2020, 30th and 31st December 2020 is a holiday. Hence, it will be excluded in the codes above for working days of the week? If so, what are the codes? Thank you

igsteo · ‎02-04-2021

data mylib.mnprice; set mylib.pricedata; if date = Intnx('MONTH', date, 0, 'END'); run; The following are my codes and the output. However, i realise months are missing as you can see january 2016, april 2016 is not included. My start date is 31DEC2015 to 29DEC2020. How do i include missing months where the date is 28th or 29th? Thank you

igsteo · ‎02-03-2021

data work.monthlystock; set work.stock; if date = Intnx('MONTH', date, 0, 'END'); run; I have managed to use the codes attached to filter 'monthly' price data. Thank you

igsteo · ‎01-31-2021

I'm not sure how to convert the data into datalines. i have a few hundred datalines.

igsteo · ‎01-29-2021

proc rank data=iglib.mktcap6yrs groups=5 out=rankedME; by dsname; var CY; ranks varrank; run; apologies, here are the codes

igsteo · ‎01-29-2021

I have used proc rank 'group=5'. Based on the 'varrank', how do i sort the data such that each table lists 'CY' variables under each rank per dsname grouping? i.e. i have data from work.yr16 to yr20. Thank you for the assistance!

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Include Total R-Square in odsoutput for regression

Fama and French (Multiple Regression)

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Re: How to multiple variables from two different datasets?

How to multiple variables from two different datasets?

How do i filter only December data?

Loop Single Regression

Re: Loop Single Regression

Re: using variables from two different tables in ProcSQL

Re: How to filter weekly price data?

Re: using variables from two different tables in ProcSQL

Include Total R-Square in odsoutput for regression

Fama and French (Multiple Regression)

Re: How to multiple variables from two different datasets?

Re: How to multiple variables from two different datasets?

How to multiple variables from two different datasets?

How do i filter only December data?

Loop Single Regression

Re: Loop Single Regression

Re: using variables from two different tables in ProcSQL

Re: How to filter weekly price data?

Re: How to filter weekly price data?

How to filter weekly price data?

Re: Sort data into a table

Re: Sort data into a table

Sort data into a table