Try using ODS to get a dataset with the R squared values: PROC AUTOREG DATA=TS; by firm_id; MODEL price=bps; OUTPUT OUT=OUT1; ods output fitstatistics=fitstatistics; RUN; This will generate a dataset in your WORK library with the regression R squared values for each BY variable. Steve Denham ... View more

Thanks so much for your help. I switched from ods output fitstatistics=fitstatistics; to ods output fitsummary=fitsummary; Now it works. Thanks si much for your help!  I am grateful for it. ... View more