{"id":207938,"date":"2024-06-12T13:59:33","date_gmt":"2024-06-12T17:59:33","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=207938"},"modified":"2024-08-13T16:16:22","modified_gmt":"2024-08-13T20:16:22","slug":"sas-repeated-estimation-of-regressions-by-group","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/sas-repeated-estimation-of-regressions-by-group\/","title":{"rendered":"SAS: Repeated Estimation of Regressions by Group"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">This post presents a SAS code for\u00a0<strong>estimating regression models by group<\/strong>. The number of group is not small that\u00a0<strong>multiple estimation using a do-loop<\/strong>\u00a0is convenient. In this process, each regression model name is set to each group name.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\" id=\"h-sas-repeated-estimation-of-regression-by-group\">SAS Repeated Estimation of Regression by Group<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">For an example of repeated regressions,\u00a0<strong>sashelp.baseball\u00a0<\/strong>dataset is used and is copied to work.base1.\u00a0<strong>work.base2<\/strong>\u00a0is created by adding the number and name of groups based on\u00a0<strong>Team<\/strong>\u00a0column. This preliminary work is done by the following SAS code.<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"800\" height=\"694\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code1-shfintech.jpg\" alt=\"SAS Data\" class=\"wp-image-207939 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code1-shfintech.jpg 800w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code1-shfintech-700x607.jpg 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code1-shfintech-300x260.jpg 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code1-shfintech-768x666.jpg 768w\" data-sizes=\"(max-width: 800px) 100vw, 800px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 800px; aspect-ratio: 800\/694;\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">In the above SAS code, the baseball dataset is\u00a0<strong>grouped by Team<\/strong>\u00a0and the number and name of group are created. The group name is used for the model name but the regression model name does not permit spaces so that we substitute underbars for spaces. Of course the number or name of group can have another available form.<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"741\" height=\"527\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/baseball_data-shfintech.png\" alt=\"SAS Sample Data\n\" class=\"wp-image-207940 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/baseball_data-shfintech.png 741w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/baseball_data-shfintech-700x498.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/baseball_data-shfintech-300x213.png 300w\" data-sizes=\"(max-width: 741px) 100vw, 741px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 741px; aspect-ratio: 741\/527;\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\">Regression with a group name as the model name<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">Given work.base2 dataset, the following SAS code performs an estimation of linear regression model. To use a group name as a regression model name,&nbsp;<strong>the group name is retrieved with the input group number before estimation of regression model is done<\/strong>. The regression output is saved to&nbsp;<strong>work.regout<\/strong>&nbsp;dataset with additional statistics such as R-squared.<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"800\" height=\"1052\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code2-shfintech.jpg\" alt=\"SAS Data Sample 2\" class=\"wp-image-207942 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code2-shfintech.jpg 800w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code2-shfintech-700x921.jpg 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code2-shfintech-300x395.jpg 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code2-shfintech-768x1010.jpg 768w\" data-sizes=\"(max-width: 800px) 100vw, 800px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 800px; aspect-ratio: 800\/1052;\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">We can find that the estimation result of Atlanta Team group has the model name as &#8220;Atlanta&#8221;. All estimation results with varying the group number from &#8217;01&#8217;\u00a0<strong>manually<\/strong>\u00a0are as follows.<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"749\" height=\"674\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/regression_output-shfintech.png\" alt=\"SAS Output 2\" class=\"wp-image-207944 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/regression_output-shfintech.png 749w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/regression_output-shfintech-700x630.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/regression_output-shfintech-300x270.png 300w\" data-sizes=\"(max-width: 749px) 100vw, 749px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 749px; aspect-ratio: 749\/674;\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\">Repeated regressions<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">It is tedious and time-consuming to run every regressions manually. For an easy estimation, repeated estimation of regressions are preferred. For this purpose, the following SAS macro code is implemented for retrieving array of group names and multiple estimations are carried out using a&nbsp;<strong>do-loop<\/strong>.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Finally, some modifications of results are made and all estimation results are summarized into one dataset (<strong>work.regout_all<\/strong>)<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"627\" height=\"1600\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code3-shfintech.jpg\" alt=\"SAS Data 3\" class=\"wp-image-207948 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code3-shfintech.jpg 627w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code3-shfintech-300x766.jpg 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/sas_code3-shfintech-602x1536.jpg 602w\" data-sizes=\"(max-width: 627px) 100vw, 627px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 627px; aspect-ratio: 627\/1600;\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">The final output is of parameter estimates and relevant statistics such as the standard error, t-statistics, and p-values with R-squared and adjusted R-squared by each group (Team).<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"749\" height=\"359\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/table_all_regression_output-shfintech.png\" alt=\"SAS Data Set Sample 3\" class=\"wp-image-207949 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/table_all_regression_output-shfintech.png 749w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/table_all_regression_output-shfintech-700x336.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2024\/06\/table_all_regression_output-shfintech-300x144.png 300w\" data-sizes=\"(max-width: 749px) 100vw, 749px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 749px; aspect-ratio: 749\/359;\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Originally posted on <a href=\"https:\/\/shleeai.blogspot.com\/2022\/08\/sas-repeated-estimation-of-regressions.html\">SH Fintech Modeling<\/a> blog.<\/em><\/p>\n","protected":false},"excerpt":{"rendered":"<p>This post presents a SAS code for estimating regression models by group. <\/p>\n","protected":false},"author":662,"featured_media":199803,"comment_status":"open","ping_status":"closed","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":"","jetpack_post_was_ever_published":false},"categories":[339,338,341],"tags":[806,1006,2776],"contributors-categories":[13728],"class_list":["post-207938","post","type-post","status-publish","format-standard","has-post-thumbnail","category-data-science","category-ibkr-quant-news","category-quant-development","tag-data-science","tag-fintech","tag-sas","contributors-categories-sh-fintech-modeling"],"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v26.9 (Yoast SEO v27.8) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ -->\n<title>SAS: Repeated Estimation of Regressions by Group<\/title>\n<meta name=\"description\" content=\"This post 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