I have a panel data, and I am running my model like this:
Y = B0 + B1X + error
I ran the model using QLIM procedure, and I need to include the serial autocorrelation to it. The DW test using Proc Autoreg shows significant P-Value as in this examample:
I am a STATA geek, and this can be done in STATA in one line as follows (after setting my time variable):
xttobit Y X, robust
Can you please let me know how this should be done in SAS?
You can estimate random-effects tobit models in PROC QLIM using the new RANDOM statement. A simple example, based on your model, for the syntax would be
MODEL Y = X / censored(lb=0);
RANDOM INT / SUBJECT=id METHOD=HERMITE(QPOINTS=12);
Currently, PROC QLIM does not offer an option for obtaining robust standard errors for heteroskedasticity and serial correlation.
Please note that xttobit does not have the “robust” option, either.
If you are willing to specify the nature of the standard errors, then you might estimate your model with PROC NLMIXED by modeling the standard errors explicitly.
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