GLM ABSORB for Two-Way Fixed-Effect Model?

[Junyong]

I use class in proc glm to run a one-way fixed-effect model as follows.

data have;
do i=1 to 3;
do j=1 to 3;
do k=1 to 10;
x=rannor(1);
y=x+rannor(1);
output;
end;
end;
end;
run;

proc glm data=have;
class i;
model y=x i/noint solution;
ods output parameterestimates=oneway_class;
quit;

Or sometimes I use absorb because it is faster than class.

proc glm data=have;
absorb i;
model y=x/noint solution;
ods output parameterestimates=oneway_absorb;
quit;

And I found that absorb, unlike class, cannot estimate a two-way fixed-effect model in this way.

/*THE FOLLOWING ESTIMATES TWO-WAY FIXED-EFFECT MODELS CORRECTLY*/
proc glm data=have;
class i j;
model y=x i j/noint solution;
ods output parameterestimates=twoway_class;
quit;

/*THE FOLLOWING DOES NOT ESTIMATE TWO-WAY FIXED-EFFECT MODELS*/
proc glm data=have;
absorb i j;
model y=x/noint solution;
ods output parameterestimates=twoway_absorb;
quit;

Though the first glm with class is correct, it becomes too slow because the real data have so many observations. How can I estimate a two-way fixed-effect model with absorb in glm instead?

[PaigeMiller · Accepted solution]

Correct.

If you use the ABSORB statement with two variables, ABSORB assumes that the second variable in the list is nested within the first, and this is not the design you have.

[Junyong]

Thanks. Then should I give up the absorb approach for two-way fixed effects?

[PaigeMiller]

---

@Junyong wrote:

Thanks. Then should I give up the absorb approach for two-way fixed effects?

---

I would replace the word "should" with "must"

[Junyong]

Sad news since LSDV-estimating multi-way fixed-effect models is computationally costly, but thanks anyway.