Model with Clustering, Absorption, Year/individual fixed effects, and linear combination testing

[oshih14]

Hello, I am looking for a procedure which achieves all of the listed: error clustering, year and individual fixed effects with individual fixed effects absorbed (since I have a lot of individuals), and the ability to test linear combinations of variables post-estimation. In Stata, the code would look something like

areg y x1 x2 x3 i.year, absorb(individual) cluster(individual)

lincom x1 x2

However, the only procedure I am able to find with absorption is glm, which does not support clustering. Alternatives I've considered are genmod, mixed, panel, and surveyreg, but they do not support absorption. Are there any procedures which suit my needs?

[ChrisNZ]

@Rick_SAS Can you help?

[Rick_SAS]

I do not know the answer. Perhaps @StatDave or @StatsMan might know.

[Ksharp]

You could try PROC HPMIXED which is for high performance and big table.