How to do fixed effects analysis for two variables in Panel Data

SHK — Wed, 16 Aug 2017 03:46:28 GMT

I have a data set including stock_name, stock_price, volume, date, liquidity, and volatility.

I want to regress the other variables on stock_price using the panel data analysis methods in three ways.

1. fixed effects on stock_name only

2. fixed effects on time only

3. fixed effects on stock_name and time at the same time

How can I estimate the three regression models each?

I'm using sas9.4.

Thanks.

Re: How to do fixed effects analysis for two variables in Panel Data

ebowen — Thu, 31 Aug 2017 20:20:52 GMT

Have you tried using PROC PANEL? You should be able to specify one-way and two-way fixed and random effects using the options in the model statement:

proc panel data=data;
   id stock_name date;
   model stock_price = volume liquidity volatility / fixone (or fixtwo);
run;