Problem in fixed effect estimates

[Saba1]

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.

[Saba1]

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.

[Kurt_Bremser]

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.

[Saba1]

@Kurt_Bremser Thanks. But I have not yet received any help.