topic two way fixed effect in SAS Programming

two way fixed effect

Amalik — Fri, 12 Apr 2019 19:05:22 GMT

Hi,

I want to perform two-way fixed effects (fund and time fixed effects).I am using the following code

ods exclude all;
proc glm data= final;
absorb PERMNO;
class year;
      model car=te te2 turn lnsize exp d year / solution noint;
ods output ParameterEstimates=results;   
run;
ods exclude none;

Although, I am getting the answers, but just want a reassurance if I am using the correct code.

Re: two way fixed effect

PGStats — Fri, 12 Apr 2019 19:44:49 GMT

Neither fund or time are present in your model. So, no, this is not a two-way fixed effects model with fund and time as the fixed effects.

Re: two way fixed effect

Amalik — Fri, 12 Apr 2019 19:46:57 GMT

Sorry, with fund and time I mean year and permno