The OUTEST= option produces a TYPE=EST output SAS data set that contains estimates from the regressions. The variables in the OUTEST= data set are as follows:

BY variables

identifies the BY statement variables that are included in the OUTEST= data set.

_TYPE_

identifies the estimation type for the observations. The _TYPE_ value INST indicates first-stage regression estimates. Other values indicate the estimation method used: 2SLS indicates two-stage least squares results, 3SLS indicates three-stage least squares results, LIML indicates limited information maximum likelihood results, and so forth. Observations added by IDENTITY statements have the _TYPE_ value IDENTITY.

_STATUS_

identifies the convergence status of the estimation. _STATUS_ equals 0 when convergence criteria are met. Otherwise, _STATUS_ equals 1 when the estimation converges with a note, 2 when it converges with a warning, or 3 when it fails to converge.

_MODEL_

identifies the model label. The model label is the label specified in the MODEL statement or the dependent variable name if no label is specified. For first-stage regression estimates, _MODEL_ has the value FIRST.

_DEPVAR_

identifies the name of the dependent variable for the model.

_NAME_

identifies the names of the regressors for the rows of the covariance matrix, if the COVOUT option is specified. _NAME_ has a blank value for the parameter estimates observations. The _NAME_ variable is not included in the OUTEST= data set unless the COVOUT option is used to output the covariance of parameter estimates matrix.

_SIGMA_

contains the root mean squared error for the model, which is an estimate of the standard deviation of the error term. The _SIGMA_ variable contains the same values reported as Root MSE in the printed output.

INTERCEPT

identifies the intercept parameter estimates.

regressors

identifies the regressor variables from all the MODEL statements that are included in the OUTEST= data set. Variables used in IDENTIFY statements are also included in the OUTEST= data set.

The parameter estimates are stored under the names of the regressor variables. The intercept parameters are stored in the variable INTERCEPT. The dependent variable of the model is given a coefficient of –1. Variables that are not in a model have missing values for the OUTEST= observations for that model.

Some estimation methods require computation of preliminary estimates. All estimates computed are output to the OUTEST= data set. For each BY group and each estimation, the OUTEST= data set contains one observation for each MODEL or IDENTITY statement. Results for different estimations are identified by the _TYPE_ variable.

For example, consider the following statements:

   proc syslin data=a outest=est 3sls;
      by b;
      endogenous y1 y2;
      instruments x1-x4;
      model y1 = y2 x1 x2;
      model y2 = y1 x3 x4;
      identity x1 = x3 + x4;
   run;

The 3SLS method requires both a preliminary 2SLS stage and preliminary first-stage regressions for the endogenous variable. The OUTEST= data set thus contains three different kinds of estimates. The observations for the first-stage regression estimates have the _TYPE_ value INST. The observations for the 2SLS estimates have the _TYPE_ value 2SLS. The observations for the final 3SLS estimates have the _TYPE_ value 3SLS.

Since there are two endogenous variables in this example, there are two first-stage regressions and two _TYPE_=INST observations in the OUTEST= data set. Since there are two model statements, there are two OUTEST= observations with _TYPE_=2SLS and two observations with _TYPE_=3SLS. In addition, the OUTEST= data set contains an observation with the _TYPE_ value IDENTITY that contains the coefficients specified by the IDENTITY statement. All these observations are repeated for each BY group in the input data set defined by the values of the BY variable B.

When the COVOUT option is specified, the estimated covariance matrix for the parameter estimates is included in the OUTEST= data set. Each observation for parameter estimates is followed by observations that contain the rows of the parameter covariance matrix for that model. The row of the covariance matrix is identified by the variable _NAME_. For observations that contain parameter estimates, _NAME_ is blank. For covariance observations, _NAME_ contains the regressor name for the row of the covariance matrix and the regressor variables contain the covariances.

See Example 26.1 for an example of the OUTEST= data set.