Hi all, I am a newcomer to SAS and need your help. I am running a 2 stage Heckman procedure on a panel data. I will get results of the first stage, panel probit and calculate the Inverse Mills Then I will run the second model, regression, in STATA. Actually since I could not run fixed effects probit in STATA I had to use SAS. We have a heteroscedasticity problem so I would like to enforce the se s to be robust. Below is the code. PROC GENMOD DATA= LIBRARY.DAF_FIRM_YEAR_DATA DESCENDING; CLASS FIRM_ID ALLIANCE_START_YEAR; Model DEDICATED_ALLIANCE_FUNCTION = SIC7372 SIC7373 SIC7374 FIRM_AGE FIRM_R_D_INTENSITY_T_1 FIRM_SOLVENCY_T_1 ALLIANCE_EXPERIENCE / dist = B link=probit MAXITER = 10000 TYPE3 WALD; REPEATED subject= FIRM_ID / WITHIN= ALLIANCE_START_YEAR /* TYPE=AR(1) */; - How can I take care of hetero problem and enforce the se s to be robust. Is there an option like in STATA vce(robust) ? - I would like to be able to report the standardized coefficients, is there a way for that? - I would like to calculate the Pseudo R2 or at least the loglikelihood, but someone told me that the calculation is not based on MLE? Any suggestions? Thanks a lot!
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