The PANEL Procedure

COMPARE Statement

COMPARE <model-list> </ options>;

A COMPARE statement creates tables of side-by-side comparisons of parameter estimates and other model statistics. You can fit multiple models simultaneously by specifying multiple MODEL statements, and you can specify a COMPARE statement to create tables that compare the models.

The COMPARE statement creates two tables: the first table compares model fit statistics such as R-square and mean square error; the second table compares regression coefficients, their standard errors, and (optionally) t tests.

By default, comparison tables are created for all fitted models, but you can use the optional model-list to limit the comparison to a subset of the fitted models. The model-list consists of a set of model labels, as specified in the MODEL statement; for more information see the section MODEL Statement. If a model does not have a label, you refer to it generically as “Model i,” where the corresponding model is the ith MODEL statement specified. If model labels are longer than 16 characters, then only the first 16 characters of the labels in model-list are used to determine a match.

You can specify one or more COMPARE statements. The following code illustrates the use of the COMPARE statement:

   proc panel data=a;
      id csid tsid;
      mod_one: model y = x1 x2 x3    / fixone;
      model "Second Model" y = x1 x2 / fixone;
      model y = x1 x2 x3 x4          / fixone;
      compare;
      compare "Second Model" "Model 3";
   run;

The first COMPARE statement compares all three fitted models. The second COMPARE statement compares the second and third models and uses the generic “Model 3” to identify the third model.

You can specify the following options in the COMPARE statement after a slash (/):

MSTAT(mstat-list)

specifies a list of model fit statistics to be displayed. A set of statistics is displayed by default, but you can use this option to specify a custom set of model statistics.

mstat-list can contain one or more of the following keywords:

ALL: displays all model fit statistics. Not all statistics are appropriate for all models, and thus not always calculated. A blank cell in the table indicates that the statistic is not appropriate for that model.
DFE: displays the error degrees of freedom. This statistic is displayed by default.
F: displays the F statistic of the overall test for no fixed effects.
FNUMDF: displays the numerator degrees of freedom of the overall test for no fixed effects.
FDENDF: displays the denominator degrees of freedom of the overall test for no fixed effects.
M: displays the Hausman test m statistic.
MDF: displays the Hausman test degrees of freedom.
MSE: displays the model mean square error. This statistic is displayed by default.
NCS: displays the number of cross sections. This statistic is displayed by default.
NONE: suppresses the table of model fit statistics.
NTS: displays the maximum time-series length. This statistic is displayed by default.
PROBF: displays the significance level of the overall test for no fixed effects.
PROBM: displays the significance level of the Hausman test.
RMSE: displays the model root mean square error.
RSQUARE: displays the model R-square fit statistic. This statistic is displayed by default.
SSE: displays the model sum of squares.
VARCS: displays the variance component due to cross sections in random-effects models.
VARERR: displays the variance component due to error in random-effects models.
VARTS: displays the variance component due to time series in random-effects models.

OUTPARM=SAS-data-set

names an output data set to contain the data from the comparison table for parameter estimates, standard errors, and t tests.

OUTSTAT=SAS-data-set

names an output data set to contain the data from the comparison table for model fit statistics, such as R-square and mean square error.

PSTAT(pstat-list)

specifies a list of parameter statistics to be displayed. By default, estimated regression coefficients and their standard errors are displayed. Use this option to specify a custom set of parameter statistics.

pstat-list can contain one or more of the following keywords:

ALL: displays all parameter statistics.
ESTIMATE: displays the estimated regression coefficient. This statistic is displayed by default.
NONE: suppresses the table of parameter statistics.
STDERR: displays the standard error. This statistic is displayed by default.
PROBT: displays the significance level of the t test.
T: displays the t statistic.

See Example 27.4 for a demonstration of the COMPARE statement.