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 (/).
specifies the maximum order of the test for the presence of AR effects in the residual in the dynamic panel model. The acceptable range of values for this option is 1 to .
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. The default option is the BTOL= option unless the ATOL= option is specified. See the section Dynamic Panel Estimator for details.
specifies which observations are included in the instrument list when the MAXBAND= option is specified. This option should be used only for exogenous instruments. BANDOPT=TRAILING is the default. See the section Dynamic Panel Estimator for details.
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.
specifies the cluster correction for the variancecovariance matrix. The cluster correction can be requested with HCCME=0, 1, 2 or 3.
prints the matrix of estimated correlations between the parameter estimates.
prints the matrix of estimated covariances between the parameter estimates.
specifies that the model be estimated by using the Da Silva method, which assumes a mixed variancecomponent moving average model for the error structure. See the section Da Silva Method (VarianceComponent Moving Average Model) for details.
specifies that a oneway fixedeffects model be estimated with the oneway model corresponding to crosssectional effects only.
specifies that a oneway fixedeffects model be estimated with the oneway model corresponding to time effects only.
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.
specifies that the model be estimated by using the dynamic panel estimator method, which allows for autoregressive processes. This is the singlestep model. Note that with this option one INSTRUMENT statement is required for each MODEL statement. See the section Dynamic Panel Estimator for details.
specifies the heteroscedasticity and autocorrelationconsistent (HAC) covariance matrix estimator. This option is not available for between models and cannot be specified with the HCCME option. When you specify this option, you can also specify the following hacoptions within parentheses:
specifies the type of kernel function. You can specify the following values:
specifies the Bartlett kernel function.
specifies the Parzen kernel function.
specifies the quadratic spectral kernel function.
specifies the TurkeyHanning kernel function.
specifies the truncated kernel function.
The default is KERNEL=TRUNCATED.
specifies the lower bound of the kernel weight value. Any kernel weight less than this lower bound is regarded as 0, which accelerates the calculation for big samples, especially for the quadratic spectral kernel function. By default, KERNELLB=0.
specifies the fixed bandwidth value or bandwidth selection method which is used in the kernel function. You can specify the following values:
specifies the Andrews(1991) bandwidth selection method.
specifies the Newey and West(1994) bandwidth selection method. The C= option can be specified within parentheses for the calculation of lag selection parameter; the default is C=12.
specifies that the bandwidth be calculated according to the following equation based on the sample size

where is the bandwidth parameter, is the sample size, and , and are values specified by the following options within parentheses and separated by commas.
specifies the coefficient in the equation. The default is .
specifies the growth rate in the equation. The default is .
specifies the constant in the equation. The default is .
specifies that the bandwidth parameter must be integer; that is, , where denotes the largest integer less than or equal to .
specifies the fixed value of the bandwidth parameter.
The default is BANDWIDTH=ANDREWS91.
specifies that prewhitening is required in the covariance calculation.
specifies that the adjustment of degrees of freedom is required in the covariance calculation.
See the section Heteroscedasticity and AutocorrelationConsistent Covariance Matrices for details.
specifies the type of HCCME variancecovariance matrix requested. If you specify HCCME=NO, the variancecovariance matrix is not corrected. The value number can be any integer from 0 to 4, inclusive. See the section HeteroscedasticityCorrected Covariance Matrices for details. By default, HCCME=NO.
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.
prints out the iteration history of the parameter and transformed sum of error squared.
specifies the order of the movingaverage process in the Da Silva method. The value of the M=option must be less than . The default is M=1.
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 . If BANDOPT=LEADING or CENTERED, then the default value of MAXBAND is 2. If BANDOPT=TRAILING, then the default value of MAXBAND is 1. If no BANDOPT option is specified such as when no exogenous instruments are used, then the default value of MAXBAND is 1. See the section Dynamic Panel Estimator for details.
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.
specifies the wellknown NeweyWest estimator, a special HAC estimator with (1) the Bartlett kernel, (2) the bandwidth parameter determined by the equation based on the sample size, , and (3) no adjustment for degrees of freedom and no prewhitening. By default the bandwidth parameter for NeweyWest estimator is , as shown in the equation (15.17) in Stock and Watson (2002). When you specify COVEST=NEWEYWEST, you can specify the following options in parentheses and separate them with commas:
specifies the coefficient in the equation. The default is .
specifies the growth rate in the equation. The default is .
specifies the constant in the equation. The default is .
specifies that the dynamic panel model be estimated without moment conditions from the difference equations. See the section Dynamic Panel Estimator for details.
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.
specifies that the dynamic panel model be estimated without moment conditions from the level equations. See the section Dynamic Panel Estimator for details.
specifies that the model be estimated by using the Parks method, which assumes a firstorder autoregressive model for the error structure. See the section Parks Method (Autoregressive Model) for details.
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.
requests poolability tests for oneway fixed effects and pooled models.
prints the estimated autocorrelation coefficients for the Parks method.
specifies that the robust weighting matrix be used in the calculation of the variancecovariance matrix of the singlestep dynamic panel estimator. See the section Dynamic Panel Estimator for details.
specifies a singularity criterion for the inversion of the matrix. The default depends on the precision of the computer system.
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.
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. The panel unit root test (or stationarity test ) will test the existence of unit root for the dependent variables only. The following unit root or stationarity tests are allowed in model statement.
specifies tests of stationarity or unit root for panel data and the options for each test. Six tests are available. You can specify all or some of these tests, separated by commas. If you specify one or more testoptions (separated by spaces) inside the parentheses after a particular test, they apply only to that test. If you specify one or more options separated by spaces after you specify the tests, they apply to all the tests. If you specify both testoptions and options, the testoptions override the options.
requests that all panel unit root and stationarity tests be performed.
requests Breitung’s unbiased test, t test and GLS t test that are robust to crosssectional dependence. The tests are described in Breitung and Meyer (1994), Breitung (2000), and Breitung and Das (2005). The following testoptions are available for this test:
requests that intermediate results (lag order) be printed.
specifies the method to choose the lag order for the augmented DickeyFuller (ADF) regressions. You can specify a value for the order of lags. If the specified lag order is too big to run linear regression (LAGS > , where is the number of observations and is the number of parameters), then the lag order is set to or , whichever is smaller. Alternatively, you can specify one of the following types:
selects the order of lags by Hall’s (1994) sequential testing method: from the most general model (maximum lags) to lower order of lag terms.
selects the order of lags by Hall’s (1994) sequential testing method: from no lag term to maximum allowed lags.
selects the order of lags by AIC.
selects the order of lags by Bayesian information criterion (or Schwarz criterion).
selects the order of lags by the HannanQuinn information criterion.
selects the order of lags by the modified AIC that is proposed by Ng and Perron (2001).
The default is LAGS=MAIC.
specifies the maximum lag order that the model allows. The default value is . If value is larger than 0 and larger than , then the maximum lag order is set to be the default value of or , whichever is smaller. This option is ignored if you specify LAGS=value.
specifies combination tests proposed by Choi (2001) and Maddala and Wu (1999). Fisher’s test, as proposed by Maddala and Wu (1991), is a special case of combination tests. You can specify one or more of the following testoptions:
selects the time series unit root test for combination tests (Fisher’s test). ADF specifies the augmented DickeyFuller (ADF)
test, and ignores the BANDWIDTH and KERNEL options for the combination tests. PP specifies the Phillips and Perron (1988)
unit root test. When you specifies TEST = PP, the LAGS and MAXLAGS options are ignored for the combination tests.
The default is TEST=PP.
specifies the type of kernel function. You can specify the following values:
specifies the Bartlett kernel function.
specifies the Parzen kernel function.
specifies the quadratic spectral kernel function.
specifies the TurkeyHanning kernel function.
specifies the truncated kernel function.
The default is KERNEL=QS.
specifies the bandwidth for the kernel. If you specify BANDWIDTH=ANDREWS, the bandwidth is selected by the Andrews method. If you specify a nonnegative number, the bandwidth is set to that value. The default is BANDWIDTH=ANDREWS.
requests that intermediate results (lag order and longrun variance for each cross section) be printed.
specifies the method to choose the lag order for the augmented DickeyFuller (ADF) regressions. You can specify a value for the order of lags. If the specified lag order is too big to run linear regression (LAGS > , where is the number of observations and is the number of parameters), then the lag order is set to or , whichever is smaller. Alternatively, you can specify one of the following types:
selects the order of lags by Hall’s (1994) sequential testing method: from the most general model (maximum lags) to lower order of lag terms.
selects the order of lags by Hall’s (1994) sequential testing method: from no lag term to maximum allowed lags.
selects the order of lags by AIC.
selects the order of lags by Bayesian information criterion (or Schwarz criterion).
selects the order of lags by the HannanQuinn information criterion.
selects the order of lags by the modified AIC that is proposed by Ng and Perron (2001).
The default is LAGS=MAIC.
specifies the maximum lag order that the model allows. The default value is . If value is larger than 0 and larger than , then the maximum lag order is set to be the default value of or , whichever is smaller. This option is ignored if you specify LAGS=value.
specifies Hadri’s (2000) panel stationarity test. You can specify the following testoptions:
requests that intermediate results (lag order and longrun variance for each cross section) be printed.
specifies the type of kernel function. You can specify the following values:
specifies the Bartlett kernel function.
specifies the Parzen kernel function.
specifies the quadratic spectral kernel function.
specifies the TurkeyHanning kernel function.
specifies the truncated kernel function.
The default is KERNEL=QS.
specifies the bandwidth for the kernel. If you specify BANDWIDTH=ANDREWS, the bandwidth is selected with the Andrews method. If you specify a nonnegative number, the bandwidth is set to that value. The default is BANDWIDTH=ANDREWS.
specifies Harris and Tzavalis’s (1999) panel unit root test. No options are available for this test.
specifies the Im, Pesaran, and Shin’s (2003) panel unit root test. You can specify the following testoptions:
requests that intermediate results (lag order) be printed.
specifies the method to choose the lag order for the augmented DickeyFuller (ADF) regressions. You can specify a value for the order of lags. If the specified lag order is too big to run linear regression (LAGS > , where is the number of observations and is the number of parameters), then the lag order is set to or , whichever is smaller. Alternatively, you can specify one of the following types:
selects the order of lags by Hall’s (1994) sequential testing method: from the most general model (maximum lags) to lower order of lag terms.
selects the order of lags by Hall’s (1994) sequential testing method: from no lag term to maximum allowed lags.
selects the order of lags by AIC.
selects the order of lags by Bayesian information criterion (or Schwarz criterion).
selects the order of lags by the HannanQuinn information criterion.
selects the order of lags by the modified AIC that is proposed by Ng and Perron (2001).
The default is LAGS=MAIC.
specifies the maximum lag order that the model allows. The default value is . If value is larger than 0 and larger than , then the maximum lag order is set to be the default value of or , whichever is smaller. This option is ignored if you specify LAGS=value.
specifies the Levin, Lin, and Chu (2002) panel unit root test. You can specify the following testoptions:
requests that intermediate results (lag order and longrun variance for each cross section) be printed.
specifies the type of kernel function. You can specify the following values:
specifies the Bartlett kernel function.
specifies the Parzen kernel function.
specifies the quadratic spectral kernel function.
specifies the TurkeyHanning kernel function.
specifies the truncated kernel function.
The default is KERNEL=QS.
specifies the bandwidth for the kernel. If you specify BANDWIDTH=ANDREWS, the bandwidth is selected with the Andrews method. If you specify a nonnegative number, the bandwidth is set to that value. The default is BANDWIDTH=LLCBAND, where the bandwidth is set to be , according to Levin, Lin, and Chu (2002).
specifies the method to choose the lag order for the augmented DickeyFuller (ADF) regressions. You can specify a value for the order of lags. If the specified lag order is too big to run linear regression (LAGS > , where is the number of observations and is the number of parameters), then the lag order is set to or , whichever is smaller. Alternatively, you can specify one of the following types:
selects the order of lags by Hall’s (1994) sequential testing method: from the most general model (maximum lags) to lower order of lag terms.
selects the order of lags by Hall’s (1994) sequential testing method: from no lag term to maximum allowed lags.
selects the order of lags by AIC.
selects the order of lags by Bayesian information criterion (or Schwarz criterion).
selects the order of lags by the HannanQuinn information criterion.
selects the order of lags by the modified AIC that is proposed by Ng and Perron (2001).
The default is LAGS=MAIC.
specifies the maximum lag order that the model allows. The default value is . If value is larger than 0 and larger than , then the maximum lag order is set to be the default value of or , whichever is smaller. This option is ignored if you specify LAGS=value.
Two tests, LLC and BREITUNG’s, are specified in the following UROOTTEST option specification:
uroottest = (llc=(kernel=parzen lags=aic), breitung= (lags=gs ) maxlags=2 kernel=bartlett)
For the LLC test, the lag order is selected by AIC with maximum lag order 2, and the kernel is specified as Parzen (overriding Bartlett). For the BREITUNG’s test, the lag order is GS with a maximum lag order 2. The KERNEL option is ignored by BREITUNG’s test because it is not a valid option.
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 OneWay RandomEffects Model and TwoWay RandomEffects Model for details.