topic Re: simple OLS regression with fixed effects in Statistical Procedures

simple OLS regression with fixed effects

MarinaMag — Fri, 08 Jun 2018 12:20:31 GMT

Hello,

I want to run a simple OLS regression and include fixed effects eg. for country or firm fixed effects.

Is there a way to do this automatically?

Thank you in advance,

Re: simple OLS regression with fixed effects

Ksharp — Fri, 08 Jun 2018 12:35:43 GMT

proc reg .......

model y=x..... /include= ;

quit;

Re: simple OLS regression with fixed effects

MarinaMag — Fri, 08 Jun 2018 12:52:51 GMT

Thank you for your response.

I tried to use it for country fixed effects and I took this message:

"ERROR 22-322: Expecting an integer constant."

Re: simple OLS regression with fixed effects

PaigeMiller — Fri, 08 Jun 2018 12:54:48 GMT

@MarinaMag wrote:

Hello,

I want to run a simple OLS regression and include fixed effects eg. for country or firm fixed effects.

Is there a way to do this automatically?

Thank you in advance,

If you need to include "country" or "firm" in the model, these are categorical variables and PROC REG does not directly handle categorical variables. You could use PROC GLM which will do regression and does allow you to include categorical variables (by using the CLASS statement).

Re: simple OLS regression with fixed effects

MarinaMag — Fri, 08 Jun 2018 13:39:42 GMT

Thank you, it works!