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aminkarimid
Lapis Lazuli | Level 10

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.

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