Coefficient vary by Industry - Panel data

quocphan — Thu, 13 Jan 2022 01:55:59 GMT

Hello,

I want to run a model that allow the coefficient to vary by Industry, and also control for firm and time fixed effect. I know the second part can be use PROC with FIXTWO, but I don't know how to do the first one.

Data is at firm level

Model: Y = α + (β + Σθ*Indus)*X + ΣγC

Where:

- Y: Independent var

- X: Dependent var (firm level data)

- C: Control var

- Indus: dummy variable for each industry

- β: Coefficient average

- θ: Coefficient adjusted by Industry

I am looking for how to code the θ*Indus

Thank you

Re: Coefficient vary by Industry - Panel data

SteveDenham — Thu, 13 Jan 2022 19:24:02 GMT

Since you are using PROC PANEL (I think), you will probably get more specific results if you post this to the Analytics>SAS Forecasting and Econometrics community.

SteveDenham

topic Coefficient vary by Industry - Panel data in SAS Procedures

Coefficient vary by Industry - Panel data

Re: Coefficient vary by Industry - Panel data