topic Re: Panel Data Variance Decomposition in SAS Forecasting and Econometrics

Panel Data Variance Decomposition

caveman529 — Thu, 12 Jun 2014 23:42:43 GMT

I hope to use statistical procedure to partition a variable of a panel dataset into cross-sectional variation and time-series variation (within and between variation). Suppose my data looks like:

Y X ID DATE

I hope to know how Y varies cross-sectionally according to ID holding DATE fixed. I also hope to know how Y varies according to DATE time-series, holding ID fixed. My description may not conform to statistical lingo, could you offer me some advice on how to do so? Thank you –

Re: Panel Data Variance Decomposition

ets_kps — Fri, 13 Jun 2014 15:33:39 GMT

Hello,

Here is how you request the variance decomposition from the procedure. It gives you the within and between variation for the VC model. You can grab this example and run it in SAS. Also, to get the full output from the procedure, simply delete the line "ods select VarianceComponents". I included it to keep your output as small as possible.

data greene;

input firm year production cost @@;

datalines;

1 1955 5.36598 1.14867 1 1960 6.03787 1.45185

1 1965 6.37673 1.52257 1 1970 6.93245 1.76627

2 1955 6.54535 1.35041 2 1960 6.69827 1.71109

2 1965 7.40245 2.09519 2 1970 7.82644 2.39480

3 1955 8.07153 2.94628 3 1960 8.47679 3.25967

3 1965 8.66923 3.47952 3 1970 9.13508 3.71795

4 1955 8.64259 3.56187 4 1960 8.93748 3.93400

4 1965 9.23073 4.11161 4 1970 9.52530 4.35523

5 1955 8.69951 3.50116 5 1960 9.01457 3.68998

5 1965 9.04594 3.76410 5 1970 9.21074 4.05573

6 1955 9.37552 4.29114 6 1960 9.65188 4.59356

6 1965 10.21163 4.93361 6 1970 10.34039 5.25520

;

proc sort data=greene;

by firm year;

run;

proc panel data=greene ;

model cost = production / rantwo vcomp = fb ;

ods select VarianceComponents;

id firm year;

run;

Re: Panel Data Variance Decomposition

caveman529 — Mon, 16 Jun 2014 21:48:09 GMT

Thank you, KPS! I'll try it out and report back.