Hello, I hope you can help me on this little problem I got. I am currently running regressions with Newey-West corrections of standard errors. Hence, the command looks as follows. PROC MODEL DATA=File.Regress PLOTS = none; TITLE 'Regression'; ENDO return; EXOG price; INSTRUMENTS _EXOG_; PARMS b0 b1; return= b0 +b1*price; FIT xret_48 / WHITE BREUSCH=(1 price) GMM KERNEL=(bart,48,0) VARDEF=n; RUN; QUIT; This command generates results, so I guess its correct. Now, as I need to run about 100 of these regressions with different independent variables, I'd like have an output file containing the parameter estimates for b0 and b1 with p values, the adjusted R-squared and the standard error of the model and the results of the heteroskedasticity tests , i.e. of White and Breusch-Pagan. Desired database outcome variables: Title B0 B1 P value b1 P value b1 White's Test Pr> ChiSq Breusch-Pagan Test Pr> ChiSq Adj R-Sq Model 1 If I had this, I'd merge the databases later to have an overview of all the different models. So, in order to get to that point, where do I have to add an output request in my command? Is that even feasible? All I am finding are options for the PROC REG command, but as I am using PROC MODEL, I am slightly confused. Hope you can assist me on this! Thank you 🙂
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