Hey guys,

I have an unbalanced panel data containing accounting information on US firms from 1976-2014.

I wish to do the following AR(1) mean-reverting process:

RIR_t,t+tau = RIR_0 (structural level) + w(RIR_t,t+tau-1 - RIR_0)

I have calculated the input series RIR, so i need to do the estimations in SAS, is it even possible? I only have SAS 9.4 and no addons such as sas ET etc.

I don’t wan’t work with a unbalanced panel data, so i wan’t do the estimation each year, only for firms that have data 7 years prior to the estimation date.

I am thinking somekind of do function, that only uses the firms with 7 years of data, each year.

On a side note: I have been trying to do some simple AR(1) models with mean reversion in the proc autoreg function. But can’t seem to model the process like i want.

As we know, proc autoreg;

model y = x, is with an intercept.

What should i do if i want to model y = c + (x-c) ?

Best regards.