Help using Base SAS procedures

Pooled EGLS???

Reply
N/A
Posts: 1

Pooled EGLS???

Hi,

I’m trying to replicate an Eviews pool equation estimation on SAS, but I can’t have equal results.. Someone can help me?

I used different procedures, (i.e. proc panel, proc tscsreg, proc reg, proc model), but results are always different from the Eviews ones.

Data: Unbalanced sample of panel data (Time series cross-section data), with 12 time series and 14 cross-section

Estimation method: Least Squares (no instrumental variables)

Estimation model: Pooled EGLS

Only common coefficients and not cross-section or period specific coefficients

No fixed and random effects

Variance structure: Cross-section heteroskedasticity. The estimates of the variances are then used in a weighted least squares procedure to compute a GLS weighting transformation, and then reestimate in iterative form until the coefficients and weights converge (CROSS SECTION WEIGHTS)

Estimates of coefficient standard errors and covariances: Cross-section SUR (PCSE) with degrees of freedom correction.

Thank you

Grace

Ask a Question
Discussion stats
  • 0 replies
  • 834 views
  • 0 likes
  • 1 in conversation