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如何使用sas进行豪斯曼测试?

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  • Amin Karimi  · 技术社区  · 7 年前

    我有面板数据,想对固定效应和随机效应进行豪斯曼检验。

    Proc glm DATA=Sampledata_adjvol;
     absorb TRD_STCK_CD;
     class TRD_EVENT_ROUFOR;
     model adjusted_volume_5 = TRD_EVENT_ROUFOR / solution;
    run;
    

    如果不使用PROC PANEL或PANEL过程,我如何进行该测试?

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  •   Amin Karimi    7 年前
    proc panel data = Sampledata_adjvol3;
        id TRD_STCK_CD DateTime;
        class TRD_EVENT_ROUFOR;
        model adjusted_volume_5 = TRD_EVENT_ROUFOR / fixone;
    run;
    
    * Regression with dummy variables in approach 2;
    * Creating dummy variables manually;
    data Sampledata_adjvol3_1;
      set Sampledata_adjvol3;
            if TRD_EVENT_ROUNDED = 34200 then TRD_EVENT_ROUNDED_1 = 1; 
        else TRD_EVENT_ROUNDED_1 = 0;
        if TRD_EVENT_ROUNDED = 36000 then TRD_EVENT_ROUNDED_2 = 1; 
        else TRD_EVENT_ROUNDED_2 = 0;
        if TRD_EVENT_ROUNDED = 37800 then TRD_EVENT_ROUNDED_3 = 1; 
        else TRD_EVENT_ROUNDED_3 = 0;
        if TRD_EVENT_ROUNDED = 39600 then TRD_EVENT_ROUNDED_4 = 1; 
        else TRD_EVENT_ROUNDED_4 = 0;
        if TRD_EVENT_ROUNDED = 41400 then TRD_EVENT_ROUNDED_5 = 1; 
        else TRD_EVENT_ROUNDED_5 = 0;
        if TRD_EVENT_ROUNDED = 43200 then TRD_EVENT_ROUNDED_6 = 1; 
        else TRD_EVENT_ROUNDED_6 = 0;
    run;
    
    proc sort data=Sampledata_adjvol3_1 out=Sampledata_adjvol3_1;
        by TRD_STCK_CD DateTime;
    run;
    proc tscsreg data= Sampledata_adjvol3_1;
        model adjusted_volume_5 = TRD_EVENT_ROUNDED_1 TRD_EVENT_ROUNDED_2 TRD_EVENT_ROUNDED_3 TRD_EVENT_ROUNDED_4
    TRD_EVENT_ROUNDED_5 TRD_EVENT_ROUNDED_6/ fixone;
        id TRD_STCK_CD datetime;
    run;