Two-way fixed effects models are available with PROC PANEL. http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_panel_details09.htm But I don't know how to incorporate two-way effects, ecm and causality test in one step (is it possible?). Maybe VARMAX with country_dummy variables... But then it is just one-way. The closest example (panel data) in PROC SSM documentation: http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_ssm_examples11.htm   ... View more