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The Y variable is accumulated data.
I am trying to use differencing method using PROC PANEL or PROC HPPANEL procedure to analyse annually panel data by one-way random effect model.
I found out that differencing method can be used by PROC ARIMA. However, i would like to use PANEL or HPPANEL procedure.
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Moved to stats community.
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I don't know what your MODEL statement looks like, but the FDONE option for the model statement does a one-way fixed effects fit to the differences and FDONETIME does a one-way fixed effects fit to the differences in time. These are available in PANEL but not HPPANEL, so far as I can tell.
SteveDenham
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Thanks for reply!
I was using RANONE and WK option to use One-way random effect.
Are FDONE or FDONETIME for one-way random effect? My model is cross sectional time series with one-way random effect.
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It doesn't appear that this applies to a one-way random effects model.
However, I think you can get what you want in a 3 step process. PANEL supports a variety of LAG functions. What about:
Run PROC PANEL with the appropriate LAG and output the dataset. No MODEL statement in this run.
In a DATA step, calculate the differenced values using the original value and the lagged value in this output dataset.
Run PROC PANEL with a RANONE option for the MODEL statement on the differenced values.
Now, I have never done this, so take it with a great big shovel of salt. However, the LAG statement in PROC PANEL says that it is capable of handling panel data correctly. It would then be a matter of selecting the right version of the LAG statement to handle missing values.
SteveDenham