Hello and good day.
I'm running the code below for my project but it takes very long time, so I wondered if it was a way ... so that it did not print? 🙂
"Running a Fama-Macbeth regression in SAS is quite easy, and doesn't require any special macros. The following code will run cross-sectional regressions by year for all firms and report the means.
ods listing close;
ods output parameterestimates=pe;
proc reg data=dset;
by year;
model depvar = indvars; run;
quit;
ods listing;
proc means data=pe mean std t probt;
var estimate; class variable;
run;
Since the results from this approach give a time-series, it is common practice to use the Newey-West adjustment for standard errors. Unlike Stata, this is somewhat complicated in SAS, but can be done as follows:
proc sort data=pe; by variable; run;
%let lags=3;
ods output parameterestimates=nw;
ods listing close;
proc model data=pe;
by variable;
instruments / intonly;
estimate=a;
fit estimate / gmm kernel=(bart,%eval(&lags+1),0) vardef=n; run;
quit;
ods listing;
proc print data=nw; id variable;
var estimate--df; format estimate stderr 7.4;
run;
"
