How to incorporate firm and time fixed effect in seemingly unrelated regression? Using PROC SYSLIN?

[abyanshuai]

Hi,

I have a panel data with 2000 firms over 15 years (2000-2014), with 4 dependent variables. I would like to run a seemingly unrelated regression on the model, and incorporate firm fixed effect (firm dummy) and time fixed effect (year dummy).

I tried follows:

PROC SYSLIN data=HAVE SUR;

model Y1= X1  X2   ;
model Y2= X1  X3 ;

model Y3= X2 X3 ;

model Y4= X2 X3 X4 ;
run;

Since PROC SYSLIN does not allow for CLASS firm year, I wonder if there is any convenient way to add firm and time fixed effect.

Apparently, firm dummy and year dummy can be manually created, but since there are 2000 firms, I am really not sure if it is a good idea to add more than 2000 variables in the model, the code will be a wallpaper...

Thank you so much!

[SteveDenham]

Consider moving your post over to the SAS Forecasting and Econometrics forum, as SYSLIN is part of SAS/ETS

SteveDenham