1. As far as getting p-values and other inference for combinations of parameter estimates (e.g. Beta_2 + Beta_3); you can issue a TEST statement, such as
TEST X1 + X1_1 = 0
which will give you the p-value for the combined effect Beta_2 + Beta_3.
2. For testing across two sub-samples, there is nothing currently in PROC PANEL to do this directly. As an alternative, I would fit it as one regression, placing an indicator variable for small vs. big firm any place that will take it. That is, you would have a main effect for this indicator, and then interact that indicator with all the regressors in the model.
... View more