Clustered Standard errors and fixed effects in PROC TSCSREG

[tedkon]

Hello, 

I want to include clustered standard errors on my model. I currently have an unbalanced data the most appropriate option that I can use is the PROC TSCSREG. How can I include clustered standards errors on my TSCSREG option?

This is the code I used, but I get error messages. It looks like the HCCME option doesn't work in Proc TSCSREG 

data data2;
set data;
id2= id;
run;

proc sort data = data;
by id t;
run;

proc tscsreg data=data;
id id t;
class id2;
model Y= X1 X2 X3 id2/ FIXONE HCCME=2 cluster; 

Thank you. 

Regards, 

Felipe 

[tedkon]

Also when I use Proc Panel data are calculated without Fixed effects 

[Godechot]

This Macro could help.

http://olivier.godechot.free.fr/hoparticle.php?id_art=721

Enjoy