Coefficient vary by Industry - Panel data

[quocphan]

Hello,

I want to run a model that allow the coefficient to vary by Industry, and also control for firm and time fixed effect. I know the second part can be use PROC with FIXTWO, but I don't know how to do the first one.

Data is at firm level

Model: Y = α + (β + Σθ*Indus)*X + ΣγC

Where:

  - Y: Independent var

  - X: Dependent var (firm level data)

  - C: Control var

  - Indus: dummy variable for each industry

  - β: Coefficient average

  - θ: Coefficient adjusted by Industry

I am looking for how to code the θ*Indus

Thank you

[SteveDenham]

Since you are using PROC PANEL (I think), you will probably get more specific results if you post this to the Analytics>SAS Forecasting and Econometrics community.

SteveDenham