Try the following code, which
1. Runs the model as pooled regression with dummy variables for firm. Because you specified the PRINTFIXED option I figured the number of firms as small to moderate, and thus the dummy variable approach would not be a problem.
2. Switches the order of the id variables so that quarter is now picked up as the main cluster.
3. Makes a copy of the firm variable so that firm can be both an ID variable and a CLASS variable (That you need to do this is a quirk of current PROC PANEL, something we intend to change).
data have;
set have;
cfirm = firm;
run;
proc sort data = have;
by quarter firm;
run;
proc panel data=have plot=all;
id quarter firm;
class cfirm;
model Y = x1 x2 cfirm / pooled noint HCCME=3 cluster;
run;
Please email me at Bobby.Gutierrez@sas.com if you have any questions. In the future, we hope to add general clustering ability to PROC PANEL, which would not require this workaround.
--Bobby
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