Simple mean reverting AR(1) Model estimation
Posted: 10 January 2015 05:48 AM   [ Ignore ]
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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.

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Posted: 10 January 2015 10:16 AM   [ Ignore ]   [ # 1 ]
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hi,

I forwarded your question to the Google group on WRDS/SAS. Any replies I will also post here.

best regards,

Joost

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To reply/post new questions: Please use the group WRDS/SAS on Google Groups! http://groups.google.com/d/forum/wrdssas

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Posted: 13 January 2015 03:35 AM   [ Ignore ]   [ # 2 ]
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Thank you, Joost.

You know anything about the minor question, regards to modelling regressions with mean reversion?
Y = c + (x-c)

Jamil

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Posted: 13 January 2015 08:04 AM   [ Ignore ]   [ # 3 ]
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hi Jamil,

I’ve not seen this before. I am afraid I can’t be of much help.

best regards,

Joost

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