DATA Step, Macro, Functions and more

proc glm fixed effect (clustered standard errors) need hlep

Reply
Occasional Contributor
Posts: 16

proc glm fixed effect (clustered standard errors) need hlep

 

Hi

 

I have quick question for SAS proc glm ‘absorb’ statement.

 

When dealing with panel data (individual i X time t) with simple OLS model (and individual level fixed effects), generally we need clustered standard errors (individual Fixed effect). Hence, I hope to cluster standard errors on individual level, but don’t know how to do it.

 

Browsing my concerns on the internet, one guy said ‘when you use proc glm and ‘absorb’ statement to have fixed effect’, then SAS automatically calculate the standard errors to be clustered at individual level (https://groups.google.com/forum/#!topic/comp.soft-sys.sas/WjhPuwt6bgo ).

 

Is it right? Or if it’s not is there any options that I should type for my equation?

 

My specification and codes are below:

 

Yit = ai  +  Tt  +  Xit’b + eit

 

Proc glm;

Absorb id; Class time;

Model Y = var1 var2 time/solution; run;

 

 

Ask a Question
Discussion stats
  • 0 replies
  • 741 views
  • 0 likes
  • 1 in conversation