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@joosti
Created January 20, 2015 16:56
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SAS fixed effects regression
/* requires sorting */
proc sort data = myData; by gvkey;run;
/* glm */
proc glm data = myData;
absorb gvkey;
ods output ParameterEstimates = work.params
FitStatistics = work.fit
NObs = work.obs;
model depvar = indep1 indep2 / solution ;
quit;
/* similar with fixed effects estimates (slower) */
proc glm data = myData;
class gvkey; /* instead of absorb */
ods output ParameterEstimates = work.params
FitStatistics = work.fit
NObs = work.obs;
/* adding gvkey gives coefficient for each gvkey*/
model depvar = indep1 indep2 gvkey / solution ;
quit;
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