topic Re: two-dimensional clustering in SAS in SAS Programming

two-dimensional clustering in SAS

poulsinghps0 — Mon, 29 May 2017 21:34:12 GMT

Dear,

Im relatively new to SAS and I'm experiencing some problems with a two-way clustering I have to do for my panel data. Since this option is available by default, I'm using someone's macro that I found on this website: https://sites.google.com/site/markshuaima/home/two-way-clustered-standard-errors-and-sas-code. I saw this website being referred to in a previous post. This is my log:

1 OPTIONS NONOTES NOSTIMER NOSOURCE NOSYNTAXCHECK;

NOTE: ODS statements in the SAS Studio environment may disable some output features.

63 /* Generated Code (IMPORT) */

64 /* Source File: spss data panelregr.sav */

65 /* Source Path: /home/poulsinghps0/finale SAS */

66 /* Code generated on: 29/05/2017 23:00 */

68 %web_drop_table(WORK.paneltwowaycluster2);

MLOGIC(WEB_DROP_TABLE): Beginning execution.

MLOGIC(WEB_DROP_TABLE): %LET (variable name is NUM)

MLOGIC(WEB_DROP_TABLE): %LET (variable name is STEPNEEDED)

MLOGIC(WEB_DROP_TABLE): %LET (variable name is STEPSTARTED)

MLOGIC(WEB_DROP_TABLE): %LET (variable name is DSNAME)

MLOGIC(WEB_DROP_TABLE): %DO %WHILE(&dsname ne) loop beginning; condition is TRUE.

MLOGIC(WEB_DROP_TABLE): %IF condition %sysfunc(exist(&dsname)) is TRUE

MLOGIC(WEB_DROP_TABLE): %LET (variable name is STEPNEEDED)

MLOGIC(WEB_DROP_TABLE): %IF condition (&stepstarted eq 0) is TRUE

MLOGIC(WEB_DROP_TABLE): %LET (variable name is STEPSTARTED)

NOTE: Table WORK.PANELTWOWAYCLUSTER2 has been dropped.

MLOGIC(WEB_DROP_TABLE): %IF condition %sysfunc(exist(&dsname,view)) is FALSE

MLOGIC(WEB_DROP_TABLE): %LET (variable name is NUM)

MLOGIC(WEB_DROP_TABLE): %LET (variable name is DSNAME)

MLOGIC(WEB_DROP_TABLE): %DO %WHILE() condition is FALSE; loop will not iterate again.

MLOGIC(WEB_DROP_TABLE): %IF condition &stepstarted is TRUE

NOTE: PROCEDURE SQL used (Total process time):

real time 0.00 seconds

user cpu time 0.00 seconds

system cpu time 0.00 seconds

memory 41.93k

OS Memory 31392.00k

Timestamp 29/05/2017 09:29:28 PM

Step Count 197 Switch Count 30

Page Faults 0

Page Reclaims 15

Page Swaps 0

Voluntary Context Switches 66

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 0

MLOGIC(WEB_DROP_TABLE): Ending execution.

71 FILENAME REFFILE '/home/poulsinghps0/finale SAS/spss data panelregr.sav';

73 PROC IMPORT DATAFILE=REFFILE

74 DBMS=SAV

75 OUT=WORK.paneltwowaycluster2;

76 RUN;

NOTE: The import data set has 5170 observations and 59 variables.

NOTE: WORK.PANELTWOWAYCLUSTER2 data set was successfully created.

NOTE: PROCEDURE IMPORT used (Total process time):

real time 0.01 seconds

user cpu time 0.01 seconds

system cpu time 0.00 seconds

memory 1967.93k

OS Memory 32932.00k

Timestamp 29/05/2017 09:29:28 PM

Step Count 198 Switch Count 40

Page Faults 0

Page Reclaims 278

Page Swaps 0

Voluntary Context Switches 92

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 4872

78 %MACRO REG2DSE(y, x, firm, time, multi, dataset, output);

80 proc surveyreg data=work.paneltwowaycluster2;

81 cluster id;

82 model tevpa = indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16

82 ! etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36

82 ! etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47 /covb ;

83 ods output covb=firm;

84 ods output FitStatistics=fit;

85 run;quit;

88 proc surveyreg data=work.paneltwowaycluster2;

89 cluster t;

90 model tevpa = indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16

90 ! etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36

90 ! etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47 /covb ;

91 ods output covb=time;

92 run;quit;

94 %if 0=1 %then %do;

96 proc surveyreg data=work.paneltwowaycluster2;

97 cluster t id;

98 model tevpa = indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16

98 ! etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36

98 ! etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47 / covb;

99 ods output covb=both ;

100 ods output parameterestimates=parm;

101 run;quit;

102

103 data parm; set parm;keep parameter estimate;run;

104

105 %end;

106

107

108 %else %if 0=0 %then %do;

109

110 proc reg data=work.paneltwowaycluster2;

111 model tevpa = indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16

111 ! etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36

111 ! etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47 /hcc acov covb;

112 ods output acovest=both ;

113 ods output parameterestimates=parm;

114 run;quit;

115

116 data both; set both; parameter=Variable; run;

117

118 data both; set both;drop variable Dependent Model;run;

119

120 data parm; set parm;parameter=Variable;Estimates=Estimate;keep parameter estimates;run;

121

122 %end;

123

124 data parm1; set parm;

125 n=_n_;m=1;keep m n;run;

126

127 data parm1;set parm1;

128 by m;if last.m;keep n;run;

129

130 data both; set both;

131 keep indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16 etf17

131 ! etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36 etf37

131 ! etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47;

132 run;

133 data firm; set firm;

134 keep indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16 etf17

134 ! etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36 etf37

134 ! etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47;

135 run;

136 data time; set time;

137 keep indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16 etf17

137 ! etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36 etf37

137 ! etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47;

138 run;

139

140 data fit1; set fit;

141 parameter=Label1;

142 Estimates=nValue1;

143 if parameter="R-square" then output;

144 run;

145

146 data fit1; set fit1;

147 n=1;

148 keep parameter Estimates n;

149 run;

150 proc iml;use both;read all var _num_ into Z;print Z;use firm;read all var _num_ into X;print X;

151 use time;read all var _num_ into Y;print Y;use parm1;

152 read all var _num_ into n;print n;B=X+Y-Z;C=I(n);D=J(n,1);E=C#B;

153 F=E*D;G=F##.5;

154 print B;print G;

155 create b from G [colname='stderr']; append from G;quit;

156

157 data results; merge parm B ;

158 tstat=estimates/stderr;n=0;run;

159

160 data resultsfit; merge results fit1;by n;

161 run;

162

163 data &output; set resultsfit;

164 drop n;

165 run;

166

167 %MEND REG2DSE;

168 %REG2DSE(y=DV, x=INDV, firm=firmid, time=timeid, multi=0, dataset=A.data, output=A.results);

MLOGIC(REG2DSE): Beginning execution.

MLOGIC(REG2DSE): Parameter Y has value DV

MLOGIC(REG2DSE): Parameter X has value INDV

MLOGIC(REG2DSE): Parameter FIRM has value firmid

MLOGIC(REG2DSE): Parameter TIME has value timeid

MLOGIC(REG2DSE): Parameter MULTI has value 0

MLOGIC(REG2DSE): Parameter DATASET has value A.data

MLOGIC(REG2DSE): Parameter OUTPUT has value A.results

NOTE: The data set WORK.FIT has 3 observations and 3 variables.

NOTE: The data set WORK.FIRM has 49 observations and 50 variables.

NOTE: PROCEDURE SURVEYREG used (Total process time):

real time 1.21 seconds

user cpu time 1.20 seconds

system cpu time 0.02 seconds

memory 11345.56k

OS Memory 40560.00k

Timestamp 29/05/2017 09:29:29 PM

Step Count 199 Switch Count 28

Page Faults 0

Page Reclaims 1998

Page Swaps 0

Voluntary Context Switches 72

Involuntary Context Switches 5

Block Input Operations 0

Block Output Operations 1080

NOTE: The data set WORK.TIME has 49 observations and 50 variables.

NOTE: PROCEDURE SURVEYREG used (Total process time):

real time 1.19 seconds

user cpu time 1.19 seconds

system cpu time 0.00 seconds

memory 5685.87k

OS Memory 41672.00k

Timestamp 29/05/2017 09:29:30 PM

Step Count 200 Switch Count 24

Page Faults 0

Page Reclaims 788

Page Swaps 0

Voluntary Context Switches 48

Involuntary Context Switches 2

Block Input Operations 0

Block Output Operations 920

MLOGIC(REG2DSE): %IF condition 0=1 is FALSE

MLOGIC(REG2DSE): %IF condition 0=0 is TRUE

WARNING: ODS graphics with more than 5000 points have been suppressed. Use the PLOTS(MAXPOINTS= ) option in the PROC REG statement

to change or override the cutoff.

NOTE: The data set WORK.PARM has 49 observations and 13 variables.

NOTE: The data set WORK.BOTH has 48 observations and 52 variables.

NOTE: PROCEDURE REG used (Total process time):

real time 2.20 seconds

user cpu time 2.18 seconds

system cpu time 0.02 seconds

memory 7661.12k

OS Memory 44996.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 201 Switch Count 37

Page Faults 0

Page Reclaims 1288

Page Swaps 0

Voluntary Context Switches 99

Involuntary Context Switches 5

Block Input Operations 0

Block Output Operations 7296

NOTE: There were 48 observations read from the data set WORK.BOTH.

NOTE: The data set WORK.BOTH has 48 observations and 53 variables.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.00 seconds

system cpu time 0.00 seconds

memory 1085.31k

OS Memory 39336.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 202 Switch Count 20

Page Faults 0

Page Reclaims 285

Page Swaps 0

Voluntary Context Switches 32

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 264

NOTE: There were 48 observations read from the data set WORK.BOTH.

NOTE: The data set WORK.BOTH has 48 observations and 50 variables.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.00 seconds

system cpu time 0.00 seconds

memory 1068.81k

OS Memory 39336.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 203 Switch Count 22

Page Faults 0

Page Reclaims 286

Page Swaps 0

Voluntary Context Switches 34

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 264

NOTE: There were 49 observations read from the data set WORK.PARM.

NOTE: The data set WORK.PARM has 49 observations and 2 variables.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.01 seconds

system cpu time 0.00 seconds

memory 1063.00k

OS Memory 39336.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 204 Switch Count 24

Page Faults 0

Page Reclaims 286

Page Swaps 0

Voluntary Context Switches 27

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 264

NOTE: There were 49 observations read from the data set WORK.PARM.

NOTE: The data set WORK.PARM1 has 49 observations and 2 variables.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.00 seconds

system cpu time 0.00 seconds

memory 1057.31k

OS Memory 39336.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 205 Switch Count 22

Page Faults 0

Page Reclaims 288

Page Swaps 0

Voluntary Context Switches 35

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 264

NOTE: There were 49 observations read from the data set WORK.PARM1.

NOTE: The data set WORK.PARM1 has 1 observations and 1 variables.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.01 seconds

system cpu time 0.00 seconds

memory 1052.78k

OS Memory 39336.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 206 Switch Count 20

Page Faults 0

Page Reclaims 283

Page Swaps 0

Voluntary Context Switches 26

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 264

WARNING: The variable etf47 in the DROP, KEEP, or RENAME list has never been referenced.

NOTE: There were 48 observations read from the data set WORK.BOTH.

NOTE: The data set WORK.BOTH has 48 observations and 47 variables.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.01 seconds

system cpu time 0.00 seconds

memory 1079.50k

OS Memory 39336.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 207 Switch Count 28

Page Faults 0

Page Reclaims 284

Page Swaps 0

Voluntary Context Switches 42

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 264

NOTE: There were 49 observations read from the data set WORK.FIRM.

NOTE: The data set WORK.FIRM has 49 observations and 48 variables.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.00 seconds

system cpu time 0.00 seconds

memory 1079.81k

OS Memory 39336.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 208 Switch Count 22

Page Faults 0

Page Reclaims 284

Page Swaps 0

Voluntary Context Switches 34

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 264

NOTE: There were 49 observations read from the data set WORK.TIME.

NOTE: The data set WORK.TIME has 49 observations and 48 variables.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.01 seconds

system cpu time 0.01 seconds

memory 1079.90k

OS Memory 39336.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 209 Switch Count 22

Page Faults 0

Page Reclaims 282

Page Swaps 0

Voluntary Context Switches 34

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 264

NOTE: There were 3 observations read from the data set WORK.FIT.

NOTE: The data set WORK.FIT1 has 0 observations and 5 variables.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.00 seconds

system cpu time 0.00 seconds

memory 1071.87k

OS Memory 39336.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 210 Switch Count 24

Page Faults 0

Page Reclaims 286

Page Swaps 0

Voluntary Context Switches 27

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 264

NOTE: There were 0 observations read from the data set WORK.FIT1.

NOTE: The data set WORK.FIT1 has 0 observations and 3 variables.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.00 seconds

system cpu time 0.00 seconds

memory 1058.09k

OS Memory 39336.00k

Timestamp 29/05/2017 09:29:33 PM

Step Count 211 Switch Count 20

Page Faults 0

Page Reclaims 286

Page Swaps 0

Voluntary Context Switches 26

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 264

NOTE: IML Ready

ERROR: (execution) Matrices do not conform to the operation.

operation : - at line 168 column 1

operands : _TEM1001, Z

_TEM1001 49 rows 48 cols (numeric)

Z 48 rows 47 cols (numeric)

statement : ASSIGN at line 168 column 1

ERROR: (execution) Matrix has not been set to a value.

operation : # at line 168 column 1

operands : C, B

C 49 rows 49 cols (numeric)

B 0 row 0 col (type ?, size 0)

statement : ASSIGN at line 168 column 1

ERROR: (execution) Matrix has not been set to a value.

operation : * at line 168 column 1

operands : E, D

E 0 row 0 col (type ?, size 0)

D 49 rows 1 col (numeric)

statement : ASSIGN at line 168 column 1

ERROR: (execution) Matrix has not been set to a value.

operation : ## at line 168 column 1

operands : F, *LIT1002

F 0 row 0 col (type ?, size 0)

*LIT1002 1 row 1 col (numeric)

0.5

statement : ASSIGN at line 168 column 1

ERROR: Matrix B has not been set to a value.

statement : PRINT at line 168 column 1

ERROR: Matrix G has not been set to a value.

statement : PRINT at line 168 column 1

ERROR: Matrix G has not been set to a value.

statement : CREATE at line 168 column 1

ERROR: No data set is currently open for output.

statement : APPEND at line 168 column 1

NOTE: Exiting IML.

NOTE: The SAS System stopped processing this step because of errors.

NOTE: PROCEDURE IML used (Total process time):

real time 2.41 seconds

user cpu time 2.41 seconds

system cpu time 0.01 seconds

memory 3069.53k

OS Memory 41388.00k

Timestamp 29/05/2017 09:29:35 PM

Step Count 212 Switch Count 130

Page Faults 0

Page Reclaims 1369

Page Swaps 0

Voluntary Context Switches 503

Involuntary Context Switches 21

Block Input Operations 0

Block Output Operations 1376

ERROR: File WORK.B.DATA does not exist.

NOTE: The SAS System stopped processing this step because of errors.

WARNING: The data set WORK.RESULTS may be incomplete. When this step was stopped there were 0 observations and 5 variables.

WARNING: Data set WORK.RESULTS was not replaced because this step was stopped.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.00 seconds

system cpu time 0.00 seconds

memory 733.21k

OS Memory 39848.00k

Timestamp 29/05/2017 09:29:35 PM

Step Count 213 Switch Count 26

Page Faults 0

Page Reclaims 252

Page Swaps 0

Voluntary Context Switches 35

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 8

ERROR: BY variable n is not on input data set WORK.RESULTS.

NOTE: The SAS System stopped processing this step because of errors.

WARNING: The data set WORK.RESULTSFIT may be incomplete. When this step was stopped there were 0 observations and 5 variables.

WARNING: Data set WORK.RESULTSFIT was not replaced because this step was stopped.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.01 seconds

system cpu time 0.00 seconds

memory 1302.90k

OS Memory 40108.00k

Timestamp 29/05/2017 09:29:35 PM

Step Count 214 Switch Count 22

Page Faults 0

Page Reclaims 287

Page Swaps 0

Voluntary Context Switches 35

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 8

ERROR: Libref A is not assigned.

NOTE: The SAS System stopped processing this step because of errors.

NOTE: DATA statement used (Total process time):

real time 0.00 seconds

user cpu time 0.00 seconds

system cpu time 0.00 seconds

memory 1033.12k

OS Memory 39588.00k

Timestamp 29/05/2017 09:29:35 PM

Step Count 215 Switch Count 20

Page Faults 0

Page Reclaims 248

Page Swaps 0

Voluntary Context Switches 26

Involuntary Context Switches 0

Block Input Operations 0

Block Output Operations 0

MLOGIC(REG2DSE): Ending execution.

169

170 OPTIONS NONOTES NOSTIMER NOSOURCE NOSYNTAXCHECK;

183

Re: two-dimensional clustering in SAS

ballardw — Tue, 30 May 2017 14:26:32 GMT

Did who ever wrot that macro provide any descriptions of what the input data set should look like? Does your data match those requirements?

Re: two-dimensional clustering in SAS

Rick_SAS — Tue, 30 May 2017 14:42:08 GMT

The error is

ERROR: (execution) Matrices do not conform to the operation.

One matrix has 49 rows 48 cols (numeric). The other has

Z 48 rows 47 cols (numeric)

So it would seem that your data is not the size that the macro expects.

Re: two-dimensional clustering in SAS

poulsinghps0 — Tue, 30 May 2017 16:45:00 GMT

Dear sir,

I also thought that was part of the problem.
Using the /noint command and deleting the intercept term from the code did solve practically all of the errors, So I think I got the standard errors I need in column G which is at the end of my output, I thank you for your comment. However, looking at the macro code, I think the output should also give me the t-statistics and perform t/std error. That however does not show in my output, nor does my log show any errors. Do you have any clue on why that might be the reason?

I'm referring to the last 9-10 lines of the code. I should admit that I THINK colums G is provided the adjusted standard errors (adjusted after two-dimensional clustering) but I'm not entirely sure. (For now I'm using these numbers to compute the t-statistic myself, however, normally the code should provide them). Column G has 48 numbers (one for each of my variables)

Here is the full code:

/* Generated Code (IMPORT) */
/* Source File: spss data panelregr.sav */
/* Source Path: /home/poulsinghps0/finale SAS */
/* Code generated on: 30-05-17 17:31 */

%web_drop_table(WORK.sasfeedback);

FILENAME REFFILE '/home/poulsinghps0/finale SAS/spss data panelregr.sav';

PROC IMPORT DATAFILE=REFFILE
DBMS=SAV
OUT=WORK.sasfeedback;
RUN;

PROC CONTENTS DATA=WORK.sasfeedback; RUN;

%web_open_table(WORK.sasfeedback);

/*July ,2015*/
/*This sas macro code is modified by Mark (Shuai) Ma based on the two-way clustered SE code from Professor John McInnis *******/

/*According to Petersen (2008) and Thompson (2011), there are three steps to estimate two-way clustered SEs: */
/*1. estimate firm-clustered VARIANCE-COVARIANCE matrix V firm,*/
/*2. estimate time-clustered VARIANCE-COVARIANCE matrix V time,*/
/*3. estimate heteroskedasticity robust white VARIANCE-COVARIANCE matrix (V white) when there is only one observations each firm-time intersection,*/
/*or, estimate firm-time intersection clustered VARIANCE-COVARIANCE matrix (V firm-time) when there is more than one observations each firm-time intersection,*/
/*This code allows the user to closely follows the formula given by Petersen (2008) and Thompson (2011).*/

/********************************************************************************************************************************/
/*If you use this code, please add a footnote:*/
/*To obtain unbiased estimates in finite samples,the clustered standard error is adjusted by (N-1)/(N-P)× G/(G-1),where N is the sample size, P is the number of independent variables, and G is the number of clusters. */
/*For details, please see my note on two-way clustered standard errors avaiable on SSRN and my website https://sites.google.com/site/markshuaima/home.*/

/*Lastly, I post this code for the communication purpose without any warranty or guaranty of accuracy or support.*/
/*I tried my best to ensure the accuracy of the codes, but I could not exclude the possibility that there might still be errors. If any error is found, please get me know immediately.*/

/********************************************************************************************************************************/
/*Input explanations */

/* After running the macro code below, you will need to run the following command,
you only need to change the names of datasets and variables and "multi" value in the following command, and results will be in dataset "A.results"*/

/*****************command*******************************************************************************************************/
/*%REG2DSE(y=DV, x=INDV, firm=firmid, time=timeid, multi=0, dataset=A.data, output=A.results);*/

/**************Variable Explanation*********************************************************************************************/
/* 1. A.data: A is your library name, data is your input dataset name,*/
/*A.results : A is your library name, results is the name you want for your output dataset ,*/

/*2. DV: the dependent variable, */
/*INDV: the list of your independent variable(s),*/

/*3. firmid: the firm identifier (such as gvkey, permno) ,*/
/*timeid: the time identifier (such as fyear, date),*/

/*4. multi=0 or 1 (you need to choose whether you use 0 or 1 ) */
/* if you have one observation per firm-time (intersection of two dimendions), you need to have multi=0*/
/* if you have multiple observations per firm-time (intersection of two dimendions) , you need to have multi=1*/

/********************************************************************************************************************************/
/************************The macro code is as follows*************************************/

%MACRO REG2DSE(y, x, firm, time, multi, dataset, output);

proc surveyreg data=WORK.sasfeedback;
cluster id;
model tevpa = indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16 etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36 etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47 /covb noint ;
ods output covb=firm;
ods output FitStatistics=fit;
run;quit;

proc surveyreg data=WORK.sasfeedback;
cluster t;
model tevpa = indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16 etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36 etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47 /covb noint ;
ods output covb=time;
run;quit;

%if 0=1 %then %do;

proc surveyreg data=WORK.sasfeedback;
cluster t id;
model tevpa = indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16 etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36 etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47 / covb noint;
ods output covb=both ;
ods output parameterestimates=parm;
run;quit;

data parm; set parm;keep parameter estimate;run;

%end;

%else %if 0=0 %then %do;

proc reg data=WORK.sasfeedback;
model tevpa = indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16 etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36 etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47 /hcc acov covb noint;
ods output acovest=both ;
ods output parameterestimates=parm;
run;quit;

data both; set both; parameter=Variable; run;

data both; set both;drop variable Dependent Model;run;

data parm; set parm;parameter=Variable;Estimates=Estimate;keep parameter estimates;run;

%end;

data parm1; set parm;
n=_n_;m=1;keep m n;run;

data parm1;set parm1;
by m;if last.m;keep n;run;

data both; set both;
keep indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16 etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36 etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47;
run;
data firm; set firm;
keep indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16 etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36 etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47;
run;
data time; set time;
keep indevolatiliteitpa ETF1 ETF2 ETF3 etf4 etf5 etf6 etf7 etf8 etf9 etf10 etf11 etf12 etf13 etf14 etf15 etf16 etf17 etf18 etf19 etf20 etf21 etf22 etf23 etf24 etf25 etf26 etf27 etf28 etf29 etf30 etf31 etf32 etf33 etf34 etf35 etf36 etf37 etf38 etf39 etf40 etf41 etf42 etf43 etf44 etf45 etf46 etf47;
run;

data fit1; set fit;
parameter=Label1;
Estimates=nValue1;
if parameter="R-square" then output;
run;

data fit1; set fit1;
n=1;
keep parameter Estimates n;
run;
proc iml;use both;read all var _num_ into Z;print Z;use firm;read all var _num_ into X;print X;
use time;read all var _num_ into Y;print Y;use parm1;
read all var _num_ into n;print n;B=X+Y-Z;C=I(n);D=J(n,1);E=C#B;
F=E*D;G=F##.5;
print B;print G;
create b from G [colname='stderr']; append from G;quit;

data results; merge parm B ;
tstat=estimates/stderr;n=0;run;

data resultsfit; merge results fit1;by n;
run;

data work.results; set resultsfit;
drop n;
run;

%MEND REG2DSE;

%REG2DSE(y=DV, x=INDV, firm=firmid, time=timeid, multi=0, dataset=work.data, output=work.results)

Re: two-dimensional clustering in SAS

Rick_SAS — Tue, 30 May 2017 16:55:05 GMT

After you run the macro, submit

proc print data=results; 
run;

Re: two-dimensional clustering in SAS

poulsinghps0 — Tue, 30 May 2017 20:52:15 GMT

That worked, thank you very much.