Hi
I have a panel dataset with a large number of stocks and monthly data. I have tried to run regression with "year" and "stock" fixed effect by using proc glm. But the results show biased estimates for year and stock. Following is the message I receive with regression output:
"Note: The X'X matrix has been found to be singular, and a generalized inverse was used to solve the normal equations. Terms whose estimates are followed by the letter 'B' are not uniquely estimable."
Following is the code:
proc glm data=reg ;
absorb year PERMNO;
model a = b c year PERMNO / solution noint;
run;
quit;
Please assist me identifying the reason behind biased results. Is it fine if I use "proc surveyreg" instead of proc glm for fixed effect?
Thanks.
Hi
I have a panel dataset with a large number of stocks and monthly data. I have tried to run regression with "year" and "stock" fixed effect by using proc glm. But the results show biased estimates for year and stock. Following is the message I receive with regression output:
"Note: The X'X matrix has been found to be singular, and a generalized inverse was used to solve the normal equations. Terms whose estimates are followed by the letter 'B' are not uniquely estimable."
Following is the code:
proc glm data=reg ;
absorb year PERMNO;
model a = b c year PERMNO / solution noint;
run;
quit;
Please assist me identifying the reason behind biased results. Is it fine if I use "proc surveyreg" instead of proc glm for fixed effect?
Thanks.
I merged the questions. Please post questions omly once, as it keeps all the answers and discussion in one place.
The stat procs forum is the right one for this issue.
@Kurt_Bremser Thanks. But I have not yet received any help.
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