Hello everybody,
I want to test for heteroskedasticity and autocorrelation in a large unbalanced panel dataset.
I do so using the following code for running regrresion
ods html;
Proc glm DATA=Sampledata;
class time firm date;
model volume = time firm date/ NOINT solution;
run;
All explanatory variables are dummies. However, variables, which are calculated, are more than 2000.
What is the faster program or procedure perform these tests?
Thanks in advance.