

%FELM SAS Macro: FIXED EFFECTS LINEAR MODELSSAS users have been repeatedly bumping on the limitations of SAS's most basic econometric procedures. PROC GLM is great for absorbing a single fixed effect but is unable to cluster standard errors and to instrument endogenous covariates. PROC SYSLIN is great for twostage least square regressions but is unable to cluster the standard errors or to absorb high dimensionality fixed effects. PROC SURVEYREG is great for clustering (one way) standard errors but is unable to absorb high dimensionality fixed effects or to instrument endogenous covariates. For those who use SAS, which still has some advantages for handling large datasets, I've been writing the following %FELM (FIXED EFFECTS LINEAR MODELS) which combines absorbing multiway fixed effects, 3way clustering and 2SLS instrumental variables regressions. Download: http://olivier.godechot.free.fr/hopfichiers/felm.sas
This macro is inspired by Simen Gaure's excellent felm function in the lfe package (https://www.rdocumentation.org/packages/lfe/versions/2.83/topics/felm) and Sergio Correia's excellent reghdfe (http://scorreia.com/software/reghdfe/). I've also reused previous %ClusteredTSLS macro writtent by Tanguy Brachet which clusters standard errors of an IV regression (https://www.researchgate.net/publication/303288577_Clustered_IV) and %REG2DSE Macro from Mark Ma which offers twoway clustering of an OLS simple regression (https://sites.google.com/site/markshuaima/home/twowayclusteredstandarderrorsandsascode) DESCRIPTION We follow here Cameron et al. (2011) and use the following formula for estimating V[B] the variancecovariance matrix of the parameters B for twoway clustering : Cf. Cameron, A.C., J.B. Gelbach and D.L. Miller (2011) "Robust inference with multiway clustering", Journal of Business & Economic Statistics 29(2):238249. SYNTAX %felm(data=, dependent=, var=, fe=, class=, format=, cluster=, endogenous=, instruments=, weight=, multi=, threshold=0.000000001, maxiter=1000, nestedness=YES, deldata=YES); ARGUMENTS
REMARKS :
EXAMPLES *Twoway fixed effects and 2way clustering; %felm(data=a, dependent=lwage, var=profit senoirity, fe=firm individual, cluster=firm individual); *Instrumental variable, oneway fixed effect and twoway clustering; %felm(data=a, dependent=lwage, var=age, endogenous=education, instruments=month_birth, fe=town, cluster=town year);
Download: http://olivier.godechot.free.fr/hopfichiers/felm.sas

Français 
English
Actualités
OgO: plus icimore here [Encadrement] Carroué, Louison. 2019. «We fired the management !» Étude d’un schisme au sein d’une communauté de développeurs de logiciels ...: plus icimore here [Encadrement] Roulleau, Guillaume. 2020. Read my Lips: Dividend and Language on the US Stock Market ∗, Mémoire de master 2 SQD ...: plus icimore here [Encadrement] BenitesGambirazio, Eliza. 2020. Working as a real estate agent. Dispositions, matching and the production of market inequalities, Doctorat de ...: plus icimore here [Données et programmes] Covid−19 epidemic and mortality in France by age category A few graphs on the evolution of mortality by age category ...: plus icimore here [Données et programmes] Covid19 graphs with R A small program to construct graphs on the Covid19 epidemic, in the world, in 5 world ...: plus icimore here [Publications] Safi, Mirna, Philippe Coulangeon, Olivier Godechot, Emanuele Ferragina, Emily Helmeid, Stefan Pauly, Ettore Recchi, Nicolas Sauger et Jen Schradie, La: plus icimore here [Publications] Safi Mirna, Philippe Coulangeon, Olivier Godechot, Emanuele Ferragina, Emily Helmeid, Stefan Pauly, Ettore Recchi, Nicolas Sauger and Jen Schradie, When: plus icimore here [Publications] Godechot, Olivier with Donald TomaskovicDevey et al., Rising betweenworkplace inequalities in highincome countries, Proceedings of the National Academy of Sciences: plus icimore here Tweets (rarely/rarement): @OlivierGodechot 

HOP 0070 clics / mois. 