我想要做一个面板数据的random effect model,在eviews做了很多次,总是出现matrix size error,得不了结果。改用SAS做,但是对proc mixed不太熟悉,想请高手指教一下:
大概有1000只股票,有6六年的数据,e1-e4是被解释变量,其他的是解释变量。
多远线性回归的模型大概是:e1= α+β1all +β2 t +.......
我自己写了一个SAS,但总是得不到结果,请问高手这个random effect model 应该怎么做?
proc mixed data=em method=ml;
class stock;
model e2=all t q top nc m re year mkt dd ri size;
random e2 all top nc m re year mkt dd ri size;
run;
面板数据的小样:
| 股票 | 日期 | e1 | e2 | e3 | e4 | all | t | q | top | nc | m |
| 2 | 2004 | 0.001395 | -0.00875 | -0.01729 | -0.02929 | 0.042422 | 0.040002 | 0 | 0.128906 | 0.146774 | 0.000418 |
| 2 | 2005 | 0.001285 | 0.026827 | 0.033718 | 0.005475 | 0.075981 | 0.008344 | 0.062605 | 0.118094 | 0.126191 | 0.000343 |
| 2 | 2006 | 0.000439 | 0.109932 | 0.096038 | 0.087154 | 0.093235 | 0.062625 | 0.014109 | 0.145428 | 0.123617 | 0.000292 |
| 2 | 2007 | 0.000314 | 0.157403 | 0.14028 | 0.133477 | 0.174451 | 0.108911 | 0.044307 | 0.146345 | 0.080731 | 0.000291 |
| 2 | 2008 | 0.000482 | 0.0392 | -0.05215 | 0.015672 | 0.186019 | 0.107569 | 0.07182 | 0.147255 | 0.072876 | 0.002441 |
| 2 | 2009 | 0.000514 | -0.02052 | -0.01161 | -0.04399 | 0.07085 | 0.048318 | 0.010871 | 0.147255 | 0.081711 | 0.002441 |
| 6 | 2004 | 0.01083 | -0.04895 | -0.05749 | -0.06126 | 0 | 0 | 0 | 0.280248 | 0.102289 | 0 |
| 6 | 2005 | 0.001792 | -0.06706 | -0.06017 | -0.08436 | 0 | 0 | 0 | 0.280248 | 0.112788 | 7.53E-05 |
| 6 | 2006 | 0.00137 | -0.0111 | -0.02499 | -0.03127 | 0.018283 | 0.018283 | 0 | 0.216185 | 0.152315 | 0.015881 |
| 6 | 2007 | 0.001797 | 0.189869 | 0.172746 | 0.163155 | 0.02386 | 0.02386 | 0 | 0.201718 | 0.146064 | 0.015881 |
| 6 | 2008 | 0.00076 | 0.255737 | 0.164383 | 0.228832 | 0 | 0 | 0 | 0.187611 | 0.095099 | 0.02982 |
| 6 | 2009 | 0.006754 | -0.00465 | 0.004259 | -0.03081 | 0.001133 | 0 | 0.001133 | 0.187611 | 0.153352 | 0.02463 |
| 9 | 2004 | 0.000332 | -0.02248 | 0.005772 | -0.02472 | 0 | 0 | 0 | 0.116418 | 0.15516 | 0.000204 |
| 9 | 2005 | 0.000808 | -0.0844 | -0.02062 | -0.08453 | 0 | 0 | 0 | 0.116418 | 0.156001 | 0.000204 |
| 9 | 2006 | 0.001646 | -0.01606 | 0.004015 | -0.01777 | 0 | 0 | 0 | 0.116418 | 0.15672 | 0.000267 |
| 9 | 2007 | 0.007955 | 0.056633 | 0.050681 | 0.046483 | 0.026633 | 0 | 0 | 0.116418 | 0.183086 | 0.000217 |
| 9 | 2008 | 0.003157 | -0.02409 | -0.03338 | -0.03215 | 0 | 0 | 0 | 0.083371 | 0.111435 | 0.000258 |
| 9 | 2009 |
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| 12 | 2004 | 0.001032 | -0.04363 | -0.01574 | 0.015104 | 0.008833 | 0.008833 | 0 | 0.12984 | 0.304691 | 0.000137 |
| 12 | 2005 | 0.000133 | -0.09866 | -0.05218 | -0.0297 | 0 | 0 | 0 | 0.12984 | 0.290777 | 1E-04 |
| 12 | 2006 | 0.000693 | -0.058 | -0.02302 | 0.006536 | 0.011848 | 0.007051 | 0.004797 | 0.111532 | 0.283757 | 0.000135 |
| 12 | 2007 | 0.001642 | -0.0633 | -0.06673 | -0.02101 | 0.003756 | 0.003756 | 0 | 0.067426 | 0.28857 | 0.00014 |
| 12 | 2008 | 0.004379 | -0.05108 | -0.02343 | -0.01807 | 0.050465 | 0.009041 | 0.041425 | 0.064667 | 0.277871 | 0.009754 |
| 12 | 2009 | 0.002924 | -0.06924 | -0.04278 | -0.01352 | 0.060086 | 0.056653 | 0.003433 | 0.065373 | 0.238229 | 0.007797 |
