Hi everybody
I am using an unbalanced panel data set over individuals and want to estimate pooled ols(POLS), fixed effect (FE) and random effect (RE). Furthermore, I would like to make a hausman test, in order to see which of the FE or RE is preferred.
I cannot use the proc panel command, as my dataset is too big (error says insufficient memory). So far I have used proc glm, but I am not sure about its ability to produce robust standard errors from and it does not seem possible to perform a hausman test using this statement. Are there any better solutions for these estimations?
My current code looks like this:
POLS
Proc Glm data=merged;
Class year edu municipal;
Model Lnw= age lnedens lnfsize edu year municipal /solution;
Run;
FE
Proc Glm data=merged;
Absorb id;
Class year edu municipal;
Model Lnw= age lnedens lnfsize edu year municipal /solution;
Run;
RE
Proc Glm data=merged;
Class year edu municipal;
Model Lnw= age lnedens lnfsize edu year municipal /solution;
Random age lnedens lnfsize edu year municipal;
Run;
The RE gives me the same as POLS, but with the error statement saying only class variables are allowed in random statement. When I try this, I do not get any estimates.
Any suggestions as to how I can perform these estimations in a better way?
Thank you