PROC PANEL writes the parameter estimates to an output data set when the OUTEST= option is specified. The OUTEST= data set contains the following variables:

_MODEL_

is a character variable that contains the label for the MODEL statement if a label is specified.

_METHOD_

is a character variable that identifies the estimation method. Current methods are FULLER, PARKS, and DASILVA.

_TYPE_

is a character variable that identifies the type of observation. Values of the _TYPE_ variable are CORRB, COVB, CSPARMS, and PARMS; the CORRB observation contains correlations of the parameter estimates; the COVB observation contains covariances of the parameter estimates; the CSPARMS observation contains cross-sectional parameter estimates; and the PARMS observation contains parameter estimates.

_NAME_

is a character variable that contains the name of a regressor variable for COVB and CORRB observations and is left blank for other observations. The _NAME_ variable is used in conjunction with the _TYPE_ values COVB and CORRB to identify rows of the correlation or covariance matrix.

_DEPVAR_

is a character variable that contains the name of the response variable.

_MSE_

is the mean square error of the transformed model.

_CSID_

is the value of the cross section ID for CSPARMS observations. The _CSID_ variable is used with the _TYPE_ value CSPARMS to identify the cross section for the first-order autoregressive parameter estimate contained in the observation. The _CSID_ variable is missing for observations with other _TYPE_ values. (Currently, only the _A_1 variable contains values for CSPARMS observations.)

_VARCS_

is the variance component estimate due to cross sections. The _VARCS_ variable is included in the OUTEST= data set when either the FULLER or DASILVA option is specified.

_VARTS_

is the variance component estimate due to time series. The _VARTS_ variable is included in the OUTEST= data set when either the FULLER or DASILVA option is specified.

_VARERR_

is the variance component estimate due to error. The _VARERR_ variable is included in the OUTEST= data set when the FULLER option is specified.

_A_1

is the first-order autoregressive parameter estimate. The _A_1 variable is included in the OUTEST= data set when the PARKS option is specified. The values of _A_1 are cross-sectional parameters, meaning that they are estimated for each cross section separately. The _A_1 variable has a value only for _TYPE_=CSPARMS observations. The cross section to which the estimate belongs is indicated by the _CSID_ variable.

INTERCEP

is the intercept parameter estimate. (INTERCEP is missing for models when the NOINT option is specified.)

regressors

are the regressor variables specified in the MODEL statement. The regressor variables in the OUTEST= data set contain the corresponding parameter estimates for the model identified by _MODEL_ for _TYPE_=PARMS observations, and the corresponding covariance or correlation matrix elements for _TYPE_=COVB and _TYPE_=CORRB observations. The response variable contains the value–1 for the _TYPE_=PARMS observation for its model.