topic Re: did proc tscsreg support robust standard errors clustered by in SAS Programming

did proc tscsreg support robust standard errors clustered by

sasphd — Wed, 19 Apr 2023 19:13:20 GMT

Hello

did proc tscsreg support robust standard errors clustered by country and date

thanks

Re: did proc tscsreg support robust standard errors clustered by

sbxkoenk — Wed, 19 Apr 2023 19:34:14 GMT

Hello,

@sasphd wrote:
did proc tscsreg support robust standard errors clustered by country and date

I do not think so.
I have forgotten a bit about PROC TSCSREG (SAS/ETS) for time-series cross-sectional regression ... as it is kind of obsolete nowadays.

Use PROC PANEL (SAS/ETS) or PROC CPANEL (SAS Econometrics) instead.
The latter procedures have ROBUST option and BIASCORRECTED option. (use one or the other)

Good luck,

Koen

Re: did proc tscsreg support robust standard errors clustered by

ballardw — Wed, 19 Apr 2023 19:34:54 GMT

@sasphd wrote:

Hello

did proc tscsreg support robust standard errors clustered by country and date

thanks

This document, https://support.sas.com/documentation/onlinedoc/ets/142/tscsreg.pdf does not mention "cluster" anywhere in the documentation. Do you mean "cross section"? That would be the variables on the ID statement.

Similarly, I do not find any explicit statement about "robust", be they "standard errors" or other statistics. So it may depend on exactly what you intend.

The document does mention that Proc Panel shares much of the code base.