Programming the statistical procedures from SAS

2 fixed effects and clustered std errors

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Frequent Contributor
Posts: 102

2 fixed effects and clustered std errors

Hi, i wanted to run a ols with

1) industry fixed effects

2) year fixed effects

3) cluster by a) year and then b) company.

 

is there anyway to do this in sas?

 

many thx in advance!!!

Valued Guide
Valued Guide
Posts: 679

Re: 2 fixed effects and clustered std errors

Use MIXED or GLIMMIX, and treat company and year as random effects.

Frequent Contributor
Posts: 102

Re: 2 fixed effects and clustered std errors

Sorry I am still a novice. Do u mind showing me how?



Sorry and thx.


Respected Advisor
Posts: 2,655

Re: 2 fixed effects and clustered std errors

Get a copy of SAS for Mixed Models, 2nd ed. by Littell et al.  It will have the examples (and some theory) on how to address this.

 

Steve Denham

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