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quocphan
Calcite | Level 5

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

 

1 REPLY 1
SteveDenham
Jade | Level 19

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

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