How to incorporate firm and time fixed effect in seemingly unrelated regression? Using PROC SYSLIN?

abyanshuai — Wed, 20 Mar 2024 11:28:31 GMT

Hi,

I have a panel data with 2000 firms over 15 years (2000-2014), with 4 dependent variables. I would like to run a seemingly unrelated regression on the model, and incorporate firm fixed effect (firm dummy) and time fixed effect (year dummy).

I tried follows:

PROC SYSLIN data=HAVE SUR;

model Y1= X1 X2 ;
model Y2= X1 X3 ;

model Y3= X2 X3 ;

model Y4= X2 X3 X4 ;
run;

Since PROC SYSLIN does not allow for CLASS firm year, I wonder if there is any convenient way to add firm and time fixed effect.

Apparently, firm dummy and year dummy can be manually created, but since there are 2000 firms, I am really not sure if it is a good idea to add more than 2000 variables in the model, the code will be a wallpaper...

Thank you so much!

Re: How to incorporate firm and time fixed effect in seemingly unrelated regression? Using PROC SYSL

SteveDenham — Wed, 20 Mar 2024 18:09:38 GMT

Consider moving your post over to the SAS Forecasting and Econometrics forum, as SYSLIN is part of SAS/ETS

SteveDenham

topic How to incorporate firm and time fixed effect in seemingly unrelated regression? Using PROC SYSLIN? in Statistical Procedures

How to incorporate firm and time fixed effect in seemingly unrelated regression? Using PROC SYSLIN?

Re: How to incorporate firm and time fixed effect in seemingly unrelated regression? Using PROC SYSL