05-03-2015 12:12 PM
I am wondering how to specify a class variable in PROC SYSLIN. In my regression model, I have an endogenous variable. So I need to use two stage least square, which is provided by PROC SYSLIN. But in my model, I have several class variables. The PROC SYSLIN doesn't seem to have a CLASS statement like PROC GLM and PROC REG.
Would anyone give me some insights?
Thank you in advance.
05-04-2015 08:43 AM
Yout need to use a data step to create dummy variables or proc glmmod:
05-05-2015 12:27 AM
Thank you very much for your reply.
I am not sure whether I have made myself clear or not. The dummy variables for the second stage of the model are already created. I just couldn't find a way to tell the PROC SYSLIN that they are class variables instead of continuous variables. In PROC REG or PROC GLM, we use to the CLASS statement to tell the procedure what the class variables are. But in the PROC SYSLIN, there is no CLASS statement.
RPOC GLMMOD doesn't seem related to the two stage least square regression model. Or I didn't get your point?
05-05-2015 09:01 AM
You are right: GLMMOD just creates those dummy variables - not related to 2SLS.
PROC SYSLIN will uses those dummy variables, if you specify them in one of the statements. All variables will be treated as "ordinary" continuous variables (despite they are binary).