topic Clustered Standard errors and fixed effects in PROC TSCSREG in SAS Programming

Clustered Standard errors and fixed effects in PROC TSCSREG

tedkon — Mon, 20 Aug 2018 17:48:42 GMT

Hello,

I want to include clustered standard errors on my model. I currently have an unbalanced data the most appropriate option that I can use is the PROC TSCSREG. How can I include clustered standards errors on my TSCSREG option?

This is the code I used, but I get error messages. It looks like the HCCME option doesn't work in Proc TSCSREG

data data2;
set data;
id2= id;
run;

proc sort data = data;
by id t;
run;

proc tscsreg data=data;
id id t;
class id2;
model Y= X1 X2 X3 id2/ FIXONE HCCME=2 cluster;

Thank you.

Regards,

Felipe

Re: Clustered Standard errors and fixed effects in PROC TSCSREG

tedkon — Wed, 22 Aug 2018 16:31:35 GMT

Also when I use Proc Panel data are calculated without Fixed effects

Re: Clustered Standard errors and fixed effects in PROC TSCSREG

Godechot — Wed, 17 Apr 2019 11:38:19 GMT

This Macro could help.

http://olivier.godechot.free.fr/hoparticle.php?id_art=721

Enjoy