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
Hello,
although presumably you will no longer be in need of an answer, as search machines might redirect someone considering the same issue (well, at least me) to this place:
proc surveyreg
data = partial_scaling;
cluster fund;
class quarter_end;
weight regression_weight;
model
perc_delta_shares = next_qperfclow quarter_end
/
ADJRSQ
solution;
quit;
For a large number of fixed effects, I suggest this macro.
Yours sincerely,
Sinistrum
what de you mean by
regression_weight
@reza96 I have a similar requirement for my regression analysis i.e., clustered S.E. at fund level and year fixed effect. Please guide me which code has helped you achieving this objective. Thanks.
What is the purpose of "regression_Weight"?
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