Hi, I have a panel data with 2000 firms over 15 years (2000-2014), with 4 dependent variables. I would like to run a seemingly unrelated regression on the model, and incorporate firm fixed effect (firm dummy) and time fixed effect (year dummy). I tried follows: PROC SYSLIN data=HAVE SUR; model Y1= X1 X2 ; model Y2= X1 X3 ; model Y3= X2 X3 ; model Y4= X2 X3 X4 ; run; Since PROC SYSLIN does not allow for CLASS firm year, I wonder if there is any convenient way to add firm and time fixed effect. Apparently, firm dummy and year dummy can be manually created, but since there are 2000 firms, I am really not sure if it is a good idea to add more than 2000 variables in the model, the code will be a wallpaper... Thank you so much!
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