MODEL response = regressors </ options> ;

The MODEL statement specifies the regression model and the error structure assumed for the regression residuals. The response variable on the left side of the equal sign is regressed on the independent variables listed after the equal sign. Any number of MODEL statements can be used. For each model statement, only one response variable can be specified on the left side of the equal sign.

The error structure is specified by the FULLER, PARKS, DASILVA, FIXONE, FIXONETIME, FIXTWO, RANONE, RANTWO, GMM, and ITGMM options. More than one of these options can be used, in which case the analysis is repeated for each error structure model specified.

Models can be given labels. Model labels are used in the printed output to identify the results for different models. If no label is specified, the response variable name is used as the label for the model. The model label is specified as follows:

label : MODEL ...;

The following options can be specified in the MODEL statement after a slash (/).

ARTEST=integer

specifies the maximum order of the test for the presence of AR effects in the residual. The acceptable range of values for this option is 1 to . See the section Instrument Choice for details.

ATOL=number

specifies the convergence criterion for iterated GMM when convergence of the method is determined by convergence in the weighting matrix. The convergence criterion must be positive. See the section Dynamic Panel Estimator for details.

BANDOPT=TRAILING | CENTERED | LEADING

specifies which observations are included in the instrument list when the MAXBAND option is employed. See the section Dynamic Panel Estimator for details.

BP

requests the Breusch-Pagan one-way test for random effects.

BP2

requests the Breusch-Pagan two-way test for random effects.

BTOL=number

specifies the convergence criterion for iterated GMM when convergence of the method is determined by convergence in the parameter matrix. The convergence criterion must be positive. The default is BTOL=1e–8. See the section Dynamic Panel Estimator for details.

BTWNG

specifies that a between-groups model be estimated.

BTWNT

specifies that a between-time-periods model be estimated.

CORRB

CORR

prints the matrix of estimated correlations between the parameter estimates.

COVB

VAR

prints the matrix of estimated covariances between the parameter estimates.

DASILVA

specifies that the model be estimated by using the Da Silva method, which assumes a mixed variance-component moving-average model for the error structure. See the section Da Silva Method (Variance-Component Moving-Average Model) for details.

FIXONE

specifies that a one-way fixed-effects model be estimated with the one-way model corresponding to cross-sectional effects only.

FIXONETIME

specifies that a one-way fixed-effects model be estimated with the one-way model corresponding to time effects only.

FIXTWO

specifies that a two-way fixed-effects model be estimated.

FULLER

specifies that the model be estimated by using the Fuller-Battese method, which assumes a variance components model for the error structure. See the section Fuller and Battese’s Method later in this chapter for details.

GINV= G2 | G4

specifies what type of generalized inverse to use. The default is a G2 inverse. The G4 inverse is generally more desirable except that it is a more numerically intensive methodology.

GMM

specifies that the model be estimated by using the dynamic panel estimator method, which allows for autoregressive processes. This is the single-step model. Note that with this option one INSTRUMENT statement is required for each MODEL statement. See the section Dynamic Panel Estimator for details.

HCCME=number

specifies the type of HCCME variance-covariance matrix requested. The expected range of values is no or 0 to 4. The default is zero, no correction. See the section Heteroscedasticity-Corrected Covariance Matrices for details.

ITGMM

specifies that the model be estimated by using the dynamic panel estimator method, but that PROC PANEL keep updating the weighting matrix until either the parameter vector converges or the weighting matrix converges. See the section Dynamic Panel Estimator for details.

ITPRINT

prints out the iteration history of the parameter and transformed sum of error squared.

M=number

specifies the order of the moving-average process in the Da Silva method. The value of the M=option must be less than . The default is M=1.

MAXBAND=integer

specifies the maximum number of time periods (per instrumental variable) that are allowed into the moment condition. The acceptable range of values for this option is 1 to . The default value is MAXBAND=1 or MAXBAND=2, depending on the BANDOPT option. See the section Dynamic Panel Estimator for details.

MAXITER= integer

specifies the maximum number of iterations allowed for the iterated GMM option. The default value is MAXITER=200. See the section Dynamic Panel Estimator for details.

NODIFFS

specifies that the dynamic panel model be estimated without moment conditions from the difference equations. See the section Dynamic Panel Estimator for details.

NOESTIM

limits the estimation of a FIXONE, FIXONETIME, RANONE model to the generation of the transformed series. This option is intended for use with an OUTTRANS= data set.

NOINT

suppresses the intercept parameter from the model.

NOLEVELS

specifies that the dynamic panel model be estimated without moment conditions from the level equations. See the section Dynamic Panel Estimator for details.

NOPRINT

suppresses the normal printed output.

PARKS

specifies that the model be estimated by using the Parks method, which assumes a first-order autoregressive model for the error structure. See the section Parks Method (Autoregressive Model) for details.

PHI

prints the matrix of estimated covariances of the observations for the Parks method. The PHI option is relevant only when the PARKS option is used. See the section Parks Method (Autoregressive Model) for details.

POOLED

specifies that a pooled (OLS) model be estimated.

RANONE

specifies that a one-way random-effects model be estimated.

RANTWO

specifies that a two-way random-effects model be estimated.

RHO

prints the estimated autocorrelation coefficients for the Parks method.

ROBUST

specifies that robust weighting matrix be used in the calculation of the variance-covariance matrix of the single step estimator. See the section Dynamic Panel Estimator for details.

SINGULAR=number

specifies a singularity criterion for the inversion of the matrix. The default depends on the precision of the computer system.

TIME

specifies that the model be estimated by using the dynamic panel estimator method, but that PROC PANEL includes time dummy variables to model any time effects present in the data. See the section Dynamic Panel Estimator for details.

TWOSTEP

specifies that the model be estimated by using the dynamic panel estimator method, but that two steps be used in the estimation. An initial first step is used to form an estimator for the weighting matrix used in the second step. See the section Dynamic Panel Estimator for details.

VCOMP=FB | NL | WH | WK

specifies the type of variance component estimate to use. The default is VCOMP=FB for balanced data and VCOMP=WK for unbalanced data. See the section The One-Way Random-Effects Model for details.