Dear all,
My problem is that when I did a event study analysis with code 'glm' and 'glmselect', the results are not the same, and I want to know why.
Specifically, I use event-study method, and the outcome variable is earnings, RHS variables are 9 event time dummies, 18 year dummies and 18 age dummies.
Everything is fine, but the results become weird when the weights are applied. (in a way that reference dummies are not omitted.)
Here is the code I used.
/*Overall results */
/*glmselect has a problem in this case*/
PROC GLM DATA=SAMPLE_CHT70 ;
CLASS EVENT_TIME(REF='-1') AGE(REF='39') STD_YYYY(REF='2019');
MODEL EARNINGS = EVENT_TIME AGE STD_YYYY/ SOLUTION CLPARM;
WEIGHT C1_WEIGHT;
RUN;
PROC GLMSELECT DATA=SAMPLE_CHT70 ;
CLASS EVENT_TIME(REF='-1') AGE(REF='39') STD_YYYY(REF='2019') ;
MODEL EARNINGS = EVENT_TIME AGE STD_YYYY/ SELECTION=NONE ;
WEIGHT C1_WEIGHT;
RUN;
The results are like below:
1) With glm, reference dummy, "Event_time -1", "Age 39", "Std_yyyy 2019", are omitted, so that other estimates are well-estimated I think.
2) With glmselect, "Event_time -1", "Age 39" are omitted, but "Std_yyyy 2019" are not.
And without applying weight, there are all right.
Does anyone know about this type of issue?
