本人是sas菜鸟,现有以下循环回归程序:
data tes;
input t1 t2 t3 t4;
datalines;
-0.0367 -0.1254 -0.0078 0.0123
-0.0292 -0.1817 0.0431 0.0235
0.0141 0.0108 0.0143 0.0325
0.0139 0.0302 0.0399 0.1265
-0.0106 -0.0946 0.1088 0,0876
run;
%macro fun;
data est; *create an empty dataset to load values;
length est 8.;
delete;
run;
%do i=1 %to 2;
proc reg data=tes outest=out(keep=t&i rename=(t&i=est)); *output each estimate dataset,leave one interested;
model t%eval(&i+2)=t%eval(&i+1) t&i/acov;
quit;
proc append base=est data=out force;*put all output datasets together to a bigger one 'est';
run;
%end;
proc means data=est n mean std t prt;
var est;
quit;
proc print;
run;
quit;
%mend fun;
%fun
问题:1.上述程序只能计算出一个斜率的平均值,如何编程求出上述循环多元回归的两个斜率的平均值?
2. 如何才能求出避免自相关及异方差问题的robust的估计,比如Newey and West估计量?