topic Re: Adjusting Standard Errors in Non-linear Seemingly Unrelated Regression in Mathematical Optimization, Discrete-Event Simulation, and OR

Adjusting Standard Errors in Non-linear Seemingly Unrelated Regression

Turkeyboy — Wed, 16 Apr 2014 13:23:56 GMT

Hi,

I am estimating a non-linear seemingly unrelated regressing using proc model, as follows:

proc model data=temp2w;
   Y1= a0 + ((gamma))*(rho1)*X1+ (1-(theta))*(rho2)*X2;
   Y2= b0 + (1-(gamma))*(rho1)*X1+ (theta)*(rho2)*X2;
   fit dPIFO dPIDOM/ sur;
run;
quit;

I need estimates of a0, b0, gamma, theta, rho1, and rho2. The model estimates the parameters as I would expect. Is there a way to adjust standard errors for clustered observations in SAS? My dataset consists of a panel of firms, and there is reason to suspect that observations are not independent within a firm.

Re: Adjusting Standard Errors in Non-linear Seemingly Unrelated Regression

RobPratt — Thu, 17 Apr 2014 18:16:30 GMT

Since PROC MODEL is part of SAS/ETS and not SAS/OR, you might have better luck in the Forecasting and Econometrics community:

https://communities.sas.com/community/support-communities/sas_forecasting

Re: Adjusting Standard Errors in Non-linear Seemingly Unrelated Regression

Turkeyboy — Thu, 17 Apr 2014 18:19:29 GMT

Great. Thanks!