03-01-2016 04:30 AM
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?