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05-02-2011 03:33 PM

How can I run a fixed effect model in Probit?

My model is: y=f(V1, V2, V3).

y is a 0/1 binomial variable.

V1, V2, V3 are continuous variables.

The observations are taken over a period of 30 years. A portion of the total number of observations come from each of the thirty years.

Since the V1,V2 and V3 vary over the thrity years, I want to add a year fixed effect.

I am using SAS 9.2. I have looked in the SAS Documentation but am unable to locate the command/options, etc.

Can anybody help?

Thanks.

My model is: y=f(V1, V2, V3).

y is a 0/1 binomial variable.

V1, V2, V3 are continuous variables.

The observations are taken over a period of 30 years. A portion of the total number of observations come from each of the thirty years.

Since the V1,V2 and V3 vary over the thrity years, I want to add a year fixed effect.

I am using SAS 9.2. I have looked in the SAS Documentation but am unable to locate the command/options, etc.

Can anybody help?

Thanks.

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05-02-2011 04:32 PM

Based on your question, I think you simply want:

proc probit;

class y;

model y = v1 v2 v3 year;

run;

This assume that y is strictly 0 or 1. There is an alternate syntax when you have a count of y out of n for each observation.

proc probit;

class y;

model y = v1 v2 v3 year;

run;

This assume that y is strictly 0 or 1. There is an alternate syntax when you have a count of y out of n for each observation.

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05-03-2011 04:44 PM

A fixed effects model can be fit in PROC LOGISTIC using the STRATA statement. For example:

proc logistic;

strata year;

model y=v1 v2 v3;

run;

This fits the conditional logistic model that avoids estimating parameters for the years. However, a probit model cannot be fit when the STRATA statement is used and there is no STRATA statement in PROC PROBIT.

proc logistic;

strata year;

model y=v1 v2 v3;

run;

This fits the conditional logistic model that avoids estimating parameters for the years. However, a probit model cannot be fit when the STRATA statement is used and there is no STRATA statement in PROC PROBIT.