Problem Note 45119: HCCME option produces incorrect standard errors in fixed effects model in PROC PANEL
If you specify HCCME = option on the MODEL statement with a fixed effects model, then standard errors on some parameters are incorrect. Specifically, for FIXONETIME model, the standard errors for all parameters are incorrect. For FIXONE model, the standard errors for the cross sectional dummy variables are incorrect, but standard errors for the intercept and regression parameters are correct. For FIXTWO model, the standard errors for the intercept and dummy variables are incorrect, but standard errors for regression parameters are correct.
There is no circumvention to this problem. However, you may specify the fixed effects model using dummy variables in PROC MODEL and specify HCCME = option on the FIT statement.
Operating System and Release Information
SAS System | SAS/ETS | z/OS | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft® Windows® for 64-Bit Itanium-based Systems | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2003 Datacenter 64-bit Edition | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2003 Enterprise 64-bit Edition | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows XP 64-bit Edition | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft® Windows® for x64 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2003 Datacenter Edition | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2003 Enterprise Edition | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2003 Standard Edition | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2003 for x64 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2008 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2008 for x64 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows XP Professional | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Enterprise 32 bit | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Enterprise x64 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Home Premium 32 bit | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Home Premium x64 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Professional 32 bit | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Professional x64 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Ultimate 32 bit | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Ultimate x64 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows Vista | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows Vista for x64 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
64-bit Enabled AIX | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
64-bit Enabled HP-UX | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
64-bit Enabled Solaris | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
HP-UX IPF | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Linux | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Linux for x64 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
OpenVMS on HP Integrity | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
Solaris for x64 | 9.22 | 12.1 | 9.2 TS2M3 | 9.3 TS1M2 |
*
For software releases that are not yet generally available, the Fixed
Release is the software release in which the problem is planned to be
fixed.
Type: | Problem Note |
Priority: | alert |
Topic: | Analytics ==> Econometrics Analytics ==> Regression SAS Reference ==> Procedures ==> PANEL
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Date Modified: | 2016-10-07 10:17:57 |
Date Created: | 2011-12-12 12:38:25 |