I am running a OLS regression. My sample period covers 120 months (10
years period). My dataset is sorted on dates (months). I want to estimate
weighted average return of each firm. In other words, I have a variable,
Size, and I want to add the size of all the firms in each month and then
estimate weight of each firm and then multiply weight with return of each
firm to estimate weighted average return.
Can anyone suggest any macro (loop) to apply to SAS program to estimate
weighted average return by months?