topic Re: Panel data regression with random effects in SAS Programming

Panel data regression with random effects

hkgejd — Wed, 20 Jul 2022 14:26:55 GMT

Hi everyone

I want to do a regression analysis with random effects on a panel dataset. I know it is possible with the help of the 'proc panel'-procedure, but unfortunately I don't have that package. Is it possible to do this without the 'proc panel'-procedure?

To those who are familiar with R, I want to do something similar with:

"data("Produc", package = "plm")
zz <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
data = Produc, index = c("state","year"))
summary(zz)"

Thanks in advance 😀

Re: Panel data regression with random effects

sbxkoenk — Wed, 20 Jul 2022 17:38:19 GMT

Hello,

If you do NOT have the SAS/ETS PROC PANEL ,
You won't have the SAS Econometrics PROC CPANEL either , I believe.

Then you can work with PROC MIXED or PROC GLIMMIX or PROC NLMIXED (all SAS/STAT).
The results will be the "same" , ... with slight variations because of different estimation algorithms!

Let us know if you cannot figure it out.

Cheers,
Koen

Re: Panel data regression with random effects

hkgejd — Thu, 21 Jul 2022 07:04:15 GMT

Hi sbxkoenk

Thanks for your help! 😀

You are right, I don't have the SAS/ETS-package.

How would you "translate" the following PROC PANEL to one of the mentioned procedures?

proc panel data=data;

id id t;

model lwage = exp exp2 wks ed /ranone;

run;

Re: Panel data regression with random effects

sbxkoenk — Thu, 21 Jul 2022 09:38:21 GMT

Hello,

Here are two SAS usage notes about using PROC MIXED for panel data

(well, for the 1st one PROC MIXED is not the primary focus, but it is covered) :

Usage Note 22114: Analyzing unbalanced panel data using PROC PANEL or PROC TSCSREG
https://support.sas.com/kb/22/114.html

PROC MIXED can be used as an alternative to the Parks method as discussed in the following note:
Estimating a model using the Parks method with unbalanced panel data
https://support.sas.com/kb/22/115.html

Remark : The estimates from PROC MIXED will not be identical to those from PROC PANEL since they use different methods — PROC PANEL uses Seely's method while PROC MIXED uses REML.

Koen