hi Kerrida,
Yes, in the accrual model here (http://www.wrds.us/index.php/repository/view/7) the regression is done by industry-year.
If you want to leave out one firm-year at the time, you need to basically write a ‘loop’ around this regression. I have a code snippet that may help you get started (not related to accrual models though):
%macro doBootstrap(filter);
%doRegModel(data=h3.d_day_age2_wins (where=( date < &filter; or date > &filter; + 14)) , dep=totOfns, export = 7_1, indep = &indep;);
data bootstrap_game;
set _outp1_3;
if Parameter eq "Mgame1_14";
filter= &filter;run;
/* Add new obs to original data set */
proc append base=bootstrap data=bootstrap_game;
run;
%mend;
%do_over(filter, macro=doBootstrap);
The %do_over is a very helpful macro by Clay (http://www.sascommunity.org/wiki/Tight_Looping_with_Macro_Arrays). Filter is a dataset that holds (in this case) dates to filter out (one at a time) (in your case you would push firm-years into the array).
The doBootstrap calls a macro where a regression runs, I keep the variable I need (you probably need to keep more variables).
If you run into limitations with %do_over (the array being too ‘deep’), you could chop the dataset into pieces by industry-year, and loop over industry-years (and within that loop, exclude one firmyear at the time).
Hope this helps,
Joost
