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sittmo
Calcite | Level 5

Hi, first time user of SAS here, I have a question regarding proc surveyreg and how I can implement clustered standard errors and fixed effects. More specifically, I want to have fixed effects for three variables: fe1, fe2, fe3 (note: I don't want to create dummy variables for each observation) and also have standard errors clustered by cse1 and cse2, is the following code correct?

 

proc surveyreg data=my_data; 
	class fe1 fe2 fe3; 
	cluster cse1 cse2; 
	model dependent_var = independent_var fe1 fe2 fe3 /solution ADJRSQ;
run;

Basically, I want to confirm whether 'class' provides the fixed effects and that I need to include the class variables in the model specification to see the coefficients on the fixed effect variables?

1 REPLY 1
hyous0001
Calcite | Level 5

Yes. If you bring a variable in "Class" and then as an independent variable sas would treat it as a fixed effect.

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