Comment faire un test de Hausman en utilisant sas?

Question

J'ai des données de panel et je veux faire un test de Hausman pour un effet fixe et aléatoire. Voici mon code:

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

Sans l'aide du panneau PROC ou la procédure de groupe spécial, comment puis-je faire ce test? Merci d'avance.

Answer 1

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;