Two-stage least square regression with clustered standard errors and fixed effect

YoungSASuser — Wed, 05 Feb 2020 00:36:27 GMT

Hi, I want to run the two-stage least square regression (2SLS) with an instrumental variable. I know "PROC SYSLIN" can be used to deal with 2SLS regression. But I don't think the "PROC SYSLIN" provides the statement about clustered standard errors and the year or industry fixed effects.

For examine, "PROC SURVEYREG" can deal with clustering standard errors and fixed effects by using the statement of "CLUSTER" and "CLASS". Unfortunately, PROC SURVEYREG cannot run 2SLS regression. Brachet (2007), see the link (https://works.bepress.com/tbrachet/2/) for details, indeed provided a good solution for 2SLS with clustered standard errors in SAS. But he didn't include the year or industry fixed effects. Do you know any package in SAS or any setting in "PROC SYSLIN" that allows us to adjust clustered standard errors and include the year or industry fixed effects? Thanks!

Re: Two-stage least square regression with clustered standard errors and fixed effect

YIN_YI_JEN — Mon, 12 Jul 2021 14:44:20 GMT

Hi YoungSASuser,

I have the same problem as you did, and I was wondering if you had your problem solved.
If you did, could you tell me how you solved it?
Thank you in advance.

topic Two-stage least square regression with clustered standard errors and fixed effect in SAS Forecasting and Econometrics

Two-stage least square regression with clustered standard errors and fixed effect

Re: Two-stage least square regression with clustered standard errors and fixed effect