topic add fixed effect in proc nlin in Statistical Procedures

add fixed effect in proc nlin

Nieves — Sat, 04 Sep 2021 01:31:21 GMT

Hi SAS experts,

how to add the firm and year fixed effect in the PROC NLIN statement for the piecewise regression ? my current code does not have any fixed effect in the regression Xpart = a1 + b1*X; and Xpart = a1 + c*(b1-b2) + b2*X;. Thanks !

PROC NLIN DATA=local.plot2 MAXITER=1000 METHOD=MARQUARDT;
PARMS a1=1 b1=-2 c=3 b2=4 ;
Xpart = a1 + b1*X;
IF (X > c) THEN DO;
Xpart = a1 + c*(b1-b2) + b2*X;
end;
MODEL Y = Xpart;
OUTPUT OUT=PIECEFIT R=RESID P=PRED;
RUN;
* -- FIT THE POWER MODEL (FOR COMPARISON) USING NONLINEAR PROCEDURE -- *;
PROC NLIN DATA=local.plot2 MAXITER=1000 METHOD=MARQUARDT;
PARMS a=1 b1=2 b2=3;
MODEL Y = a1 + b1*X**b2;
OUTPUT OUT=POWERFIT R=PWR_RESID P=PWR_PRED;
RUN;
* -- COMBINE OUTPUT FROM BOTH MODELS -- *;
DATA ALL;
SET PIECEFIT POWERFIT;
RUN;
* -- PLOT DATA, PIECEWISE REGRESSION FIT, AND POWER MODEL FIT -- *;
SYMBOL1 f=marker v=U i=none c=blue;
SYMBOL2 v=none i=join line=1 w=3 c=blue;
SYMBOL3 v=none i=join line=2 w=3 c=black;
AXIS2 label = (a=90 r=0);
PROC GPLOT DATA=ALL;
PLOT Y*X=1 PRED*X=2 PWR_PRED*X=3 / OVERLAY FRAME VAXIS=AXIS2;
RUN;

fixed effect in proc nlin

Nieves — Thu, 02 Sep 2021 08:52:24 GMT

Hi SAS experts,

how to add the fixed effect in the PROC NLIN statement for the piecewise regression ? my current code does not have any fixed effect in the regression Xpart = a1 + b1*X; and Xpart = a1 + c*(b1-b2) + b2*X;. Thanks !

Re: fixed effect in proc nlin

sbxkoenk — Fri, 03 Sep 2021 17:28:20 GMT

It's not clear to me what you mean with "adding a fixed effect"?

Is your code giving errors (then provide us with the LOG)?
Is your code not giving errors but not doing what you want either, then explain further!
Do you have other effects that you want to account for in Y (besides X) and you do not know how to integrate them in the formulas?

[EDIT] Also better to move this topic thread to the "Statistical Procedures" board!

Analytics (header) > Statistical procedures.

Can someone with superpowers do so?

Thanks,

Koen

Re: fixed effect in proc nlin

Nieves — Sat, 04 Sep 2021 01:28:29 GMT

Hi Koen,

Thank you very much for your reply. My code is not giving errors but not doing what I want. I would like to add firm and year fixed effect in the regression. Currently, I only have explanatory variable x in the regression. I'm not sure how to include firm and year fixed effect in the proc nlin process.

Re: fixed effect in proc nlin

sbxkoenk — Sat, 04 Sep 2021 11:50:35 GMT

Hello @Nieves ,

I think you just have to add FIRM and YEAR to Xpart = (both Xpart-s!).

But it seems you are doing econometrics and having panel data (time series cross-sectional) data.

For panel data (and for having correct parameter estimation methods for non-independent observations and clusters in the data), there is PROC MIXED (or PROC GLIMMIX), PROC PANEL, PROC TSCSREG and PROC CPANEL (SAS VIYA Econometrics).

But these 4 procedures do not allow for the segmented regression (broken-stick regression) you are aiming at.

Segmented regression (Segmented Models) is also known as 'broken-stick regression' or 'Change Point Models'.

You can also use PROC MCMC (Markov chain Monte Carlo) for 'Change Point Models'. See the doc for PROC MCMC.

I hope you can sort it out.

Kind regards,

Koen