topic Re: Implying white's (1980) correction at proc panel procedure in SAS Forecasting and Econometrics

Implying white's (1980) correction at proc panel procedure

lior — Tue, 09 Dec 2014 00:44:28 GMT

Hello,

I run proc panel procedure (I have panel data and I want to consider fixed effects). and its work fine.

but I don't know how to enter white's (1980) correction to this procedure.

(all the examples to white's correction are in proc model procedure).

anyone happens to know how to do this?

Thanks,

Lior

Re: Implying white's (1980) correction at proc panel procedure

SteveDenham — Tue, 09 Dec 2014 15:12:52 GMT

Look up the HCCME= option for the MODEL statement in PROC PANEL. HCCME=4 uses the Arellano version of the White correction.

Steve Denham

Re: Implying white's (1980) correction at proc panel procedure

lior — Wed, 10 Dec 2014 10:16:32 GMT

Hi,

Thanks, I found this statement in the web but I havn't found statement that combined both fixed Effect and White's correction.

The statement with fixed effect is:

proc panel data=invest.table_regressionfinal ;

id GVKEY DATADATE;

model shareprice_ending_of_tm_f_qtr= bv EPSPXQ/fixone ;

run;

And the statement with HCCME is:

proc panel data=invest.table_regressionfinal ;

id GVKEY DATADATE;

model shareprice_ending_of_tm_f_qtr= bv EPSPXQ/pooled hccme=4;

run;

Do you happen to know how to combine those two in a way it will make sense ?

Thanks,

Lior

Re: Implying white's (1980) correction at proc panel procedure

SteveDenham — Wed, 10 Dec 2014 16:19:01 GMT

Why not:

proc panel data=invest.table_regressionfinal ;

id GVKEY DATADATE;

model shareprice_ending_of_tm_f_qtr= bv EPSPXQ/fixone hccme=4;

run;

This should work (at least based on the documentation).

Steve Denham

Re: Implying white's (1980) correction at proc panel procedure

ets_kps — Wed, 10 Dec 2014 16:53:55 GMT

Steve thanks for the answer here. One additional piece of information might be useful for you loir.

Within the PANEL procedure, a new feature implements a more general form of the sandwich estimator for consistent SE's.

These options are under the HAC= option (Hetero and Autocorrelated SE's). For a super quick and dirty robust SE, add HAC=neweywest to the model statement.

SAS/ETS(R) 13.2 User's Guide

Re: Implying white's (1980) correction at proc panel procedure

lior — Wed, 10 Dec 2014 20:41:48 GMT

Yes, its working.

Thank you very much,

Lior