Hausman Test, Fixed/random effects in SAS?
- by John
Hey guys,
I'm trying to do a fixed effecs OLS regression, a random effects OLS Regression and a Hausman test to back up my choice for one of those models. Alas, there does not seem to be a lot of information of what the code looks like when you want to do this.
I found for the Hausman test that
proc model data=one out=fiml2;
endogenous y1 y2;
y1 = py2 * y2 + px1 * x1 + interc;
y2 = py1* y1 + pz1 * z1 + d2;
fit y1 y2 / ols 2sls hausman;
instruments x1 z1;
run;
you do something like this. However, I do not have the equations in the middle, which i assume to be the fixed and random effects models?
On an other site I found that PROC TSCSREG automatically displays the Hausman test, unfortunately this does not work either. When I type PROC TSCSREG data = clean; data does not become blue meaning SAS does not recognize this as a type of data input?
proc tscsreg data = clean;
var nof capm_erm sigma cv fvyrgro meanest tvol bmratio size ab;
run;
I tried this but obviously doesn't work since it does not recognize the data input, I've been searching but I can't seem to find a proper example of how the code of an hausman test looks like.
On the SAS site I neither find the code one has to use to perform a fixed/random effects model.
My data has 1784 observations, 578 different firms (cross section?) and spans over a 2001-2006 period in months.
Any help?
