Panel regression in SAS using subgroups in data set

Question

Below is a sample of my dataset:

Within in the variable "Country" I have countries belonging to Group A, and Group B (dummy variables).

I want to do a panel regression in SAS on the returns of these countries as such:

model Returns = Event(0,1)

with the added condition that, for example,

I only want to consider countries belonging to Group A, and during a Pre-2000 period.

Is there a way to code that in SAS using this current dataset?

Stu Sztukowski Stu Sztukowski · Accepted Answer · 2016-07-11T13:50:48

SAS/ETS provides the proc panel procedure that will model panel data. Note that you must have identical time periods for each cross-section. If you don't, you'll need to prepare the data with proc timeseries or proc expand beforehand.

Once you read your data in, you'll use proc panel with a where statement to construct the model. The ID statement is a bit different in proc panel. It first expects the cross-section variable, then the time ID variable.

proc panel data=have;
    where GroupA = 1
          AND year(date) < 2000;

    id country date;
    class event;

    model Returns = Event;
run;

Panel regression in SAS using subgroups in data set

1 Answers