Programming the statistical procedures from SAS

Panel regression with fixed effects and clustered standard errors

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Panel regression with fixed effects and clustered standard errors

[ Edited ]

Hello,

 

I am using the SAS 9.4 edition and I would like to conduct the following panel regression : trade_{i,j,t} = Intercept + B1 * flow_{i,t} + …. Epsilon_{i,t}. The dependent variable represents the percentage change in stock holding of fund i in stock j at quarter-end t relative to time t-1, flow_{i,t} is the capital flow in/out of fund i at quarter-end t.

 

Which procedure do I need to use to estimate this regression which includes fixed effects at each quarter-end t and which clusters standard errors at the fund level i?

 

 Below is the code I am using now, which only clusters standard errors at the fund level. Thanks in advance for your help.

 

proc surveyreg data= partial_scaling;

cluster fund;

weight regression_weight;

model perc_delta_shares = next_qpercflow / ADJRSQ solution ;

quit;

 

Regards,

Reza

 

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