用sas处理panel data学习材料.pdf

用SAS 处理Panel Data 学习材料 熊鹏 实证金融学的研究中，牵涉到很多面板数据(Panel Data ，PD) 的处理。考虑到以后我们 的工作中相关的研究会很多，因此这里特别把SAS 中相关的资料整理如下。其实，PD 的处 理，STATA 也许比SAS 更为优秀。因此，有兴趣的同事不妨把STATA 的相关资料整理出来。 关于这块内容在理论上的研究，大家可以参考Green (2000, Ch.14) 本介绍材料分为如下几个部分：引论，主要是介绍面板数据的基础知识；第二章是通 过一个简单的例子说明怎样使用SAS 中这个过程进行参数估计和假设检验；第三部分是SAS 该过程详细的语法介绍；第四部分是估计程序的数学说明，第五部分是估计程序的理论来源， 即参考文献。 Ch1. Overview The TSCSREG (Time Series Cross Section Regression) procedure analyzes a class of linear econometric models that commonly arise when time series and cross-sectional data are combined. The TSCSREG procedure deals with panel data sets that consist of time series observations on each of several cross-sectional units. Such models can be viewed as two-way designs with covariates where N is the number of cross sections, T is the length of the time series for each cross section, and K is the number of exogenous or independent variables. The performance of any estimation procedure for the model regression parameters depends on the statistical characteristics of the error components in the model. The TSCSREG procedure estimates the regression parameters in the preceding model under several common error structures. The error structures and the corresponding methods the TSCSREG procedure uses to analyze them are as follows: • one and two-way fixed and random effects models. If the specification is dependent only on the cross section to which the observation belongs, such a model is referred to as a model with one-way effects. A specification that depends on both the cross section and the time series to which the observation belongs is called a model with two-way effects. • Therefore, the specifications for the one-way model are and the specifications for the two-way model are where is a classical error term with zero mean and a homoscedastic covariance matrix. •