Date: Thu, 9 Sep 2010 13:36:13 -0700
Reply-To: "Nordlund, Dan (DSHS/RDA)" <NordlDJ@DSHS.WA.GOV>
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: "Nordlund, Dan (DSHS/RDA)" <NordlDJ@DSHS.WA.GOV>
Subject: Re: repeated regressions and output file of R-squared of all
regressions
In-Reply-To: <201009092004.o89GCKii012276@willow.cc.uga.edu>
Content-Type: text/plain; charset=utf-8
Daniel J. Nordlund
Washington State Department of Social and Health Services
Planning, Performance, and Accountability
Research and Data Analysis Division
Olympia, WA 98504-5204
> -----Original Message-----
> From: SAS(r) Discussion [mailto:SAS-L@LISTSERV.UGA.EDU] On Behalf Of MM
> Sent: Thursday, September 09, 2010 1:05 PM
> To: SAS-L@LISTSERV.UGA.EDU
> Subject: repeated regressions and output file of R-squared of all
> regressions
>
> Dear all,
>
> yesterday (8/9) I posted a question about how to calculate a first-
> order
> cov series from a series of daily returns. I'm still hoping someone may
> give me one more hint. Today I have a new issue which I hope some of
> you
> can help me to sort out.
>
> 1)I have to run repeatedly the same simple OLS regression for each day
> in
> my database. I have 1800 days (observations) and I start running the
> regression from the 20th observation. Each observation is characterized
> by
> the date and an index i (first day-> i=1);
> 2) I need to save all the R2s obtained from the day-by-day regressions
> in
> one output file where I have only two variables:
> DATE R-SQUARED
>
> So far, I haven't been able to find the way to accomplish these two
> tasks.
> Any idea?
> Thank you very much in advance.
>
> MM
Can you give an example of what your data looks like and what your OLS regression code is. Also, you need to tell more about what you are modeling, and it would help to see an example of what you have tried.
Dan
Daniel J. Nordlund
Washington State Department of Social and Health Services
Planning, Performance, and Accountability
Research and Data Analysis Division
Olympia, WA 98504-5204
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