Hi Everyone,
I want to use fixed effects to estimate a model, using GMM estimation and the model consists of simultaneous equations. I am using PROC MODEL (proc panel does not support simultaneous equations) and using dummy variable to control the fixed effects.
Since there are 100+ dummy variables, does that mean I need to create 100+ parameters corresponding to these 100+ dummy variables? Is there any efficient way to add the dummy variables when using PROC MODEL? Generate 100+ parameters for the dummy variable is too much burden...
Suppose the simultaneous eq. model is like this:
y1=a0+a1*x1+a2*x2
y2=b0+b1*x1+b2*x3
After adding the dummy variables, the model will be like this??!!
y1=a0+a1*x1+a2*x2+a3*col1+a4*col2+a5*col3+....a102*col100+...
y2=b0+b1*x1+b2*x3+b3*col1+b4*col2+b5*col3+....b102*col100+...
Is there any easy way to write the dummy variables and the corresponding parameters, like col1-c100 in PROC MODEL?
Thanks very much.
Alice.
do you want to try the code below?
data _null_;
length list $ 2000;
retain list;
do i=1 to 20;
list=catx('+',list,cats(cats('a',i+2),'*',cats('col',i)));
end;
call symputx('list',list);
run;
%put &list;
y1=a0+a1*x1+a2*x2+&list.;
Linlin
do you want to try the code below?
data _null_;
length list $ 2000;
retain list;
do i=1 to 20;
list=catx('+',list,cats(cats('a',i+2),'*',cats('col',i)));
end;
call symputx('list',list);
run;
%put &list;
y1=a0+a1*x1+a2*x2+&list.;
Linlin
You can reference this paper that has a macro explaining how to create the macro variables.
http://www.wuss.org/proceedings11/Papers_Sun_B_74902.pdf
I'm not 100% sure but think LinLin's code will create the code, but won't create the dummy variables.
if you have SAS/STAT, use PROC GLMMOD, to output parameter and associated column numbers and use SQL to create your statement:
proc glmmod data=sashelp.cars outparm=parm;
class type;
model MPG_CITY=TYPE;
run;
proc sql noprint;
select cats('a', _colnum_, '*col', _colnum_) into :stmt separated by '+'
from parm
;
quit;
%put &stmt;
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