Dear DW_SAS,   You are the savior !! many many thanks indeed for the new knowledge you share in the links !!  problem solved.   Hollyalways ... View more

thank you for reply. Attachments are the sample data. Many many thanks.    proc import datafile="C:\Users\Holly\Desktop\papers\Master\Econometrics\Assignment2\paneldata.xlsx" out=panel2; sheet="paneldata1"; run;   data panelD; set panel2; if time =" " then delete; if area =" " then delete; run;   proc sort data=panelD; by area time; run;   proc panel data=panelD; id area time; pooled: model PRIOR = MktRF SMB HML RMW CMA / pooled corr; fixone: model PRIOR = MktRF SMB HML RMW CMA / fixone; fixonetime: model PRIOR = MktRF SMB HML RMW CMA / fixonetime; fixtwo: model PRIOR = MktRF SMB HML RMW CMA / fixtwo; ranone: model PRIOR = MktRF SMB HML RMW CMA / ranone; rantwo: model PRIOR = MktRF SMB HML RMW CMA / rantwo; instruments correlated = (HML CMA); Htaylor: model PRIOR = MktRF SMB HML RMW CMA / htaylor; run; quit; ... View more