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有个firm fixed effect 和time fixed effect，

proc glm data=a;
absorb firm;
class time;
model anti=self pov time;
run;

不知道残差怎么算呢？
想算一个residual包括firm fixed effect，但是不包括time fixed effects

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关键词：ROC fixed effect Residual effects Effect absorb

class firm time;的话 好像说计算量太大。。

木有人能说两句么？

还是我没问清楚？

一眼瞬间 发表于 2010-10-25 13:32
有个firm fixed effect 和time fixed effect，

proc glm data=a;
absorb firm;
class time;
model anti=self pov time;
run;

不知道残差怎么算呢？
想算一个residual包括firm fixed effect，但是不包括time fixed effects

Hi,
Is that just for learning or a problem you met in your job? It looks like using fixed effect on longitudinal data (time). Unfortunately, when using ABSORB statement, you are not able to get the predicted values or residuals because the firm was conditioned out in the model, i.e., excluding from the design matrix. It should be similar (or equal) to regression on centered response and predictors on time. However, I do not know how to do it,
JingJu

It's a problem I met in the job.

Yes, time is dummy, firm fixed effects.

Thanks!

我再研究研究。

那fixed effect，如果都是用class的话，怎样才能得到所有的这个effect的参数呢？

其实目的就是要算模型残差+这个effect的值。

这样问可能更清楚些吧

一眼瞬间 发表于 2010-10-26 03:08
那fixed effect，如果都是用class的话，怎样才能得到所有的这个effect的参数呢？

其实目的就是要算模型残差+这个effect的值。

这样问可能更清楚些吧

Hi,


I am not sure what exactly you are struggling on.

Model …/solution;

Is it that what you are looking for? JingJu

Hello jingju 大师，
就是如果用一个包含了firm fixed effect和year dummy的model的话，用glm，我们是可以用sas得到一列residuals，
Y=xb+ai+vi+u;
ai是firm fixed effect, vi是year fixed effect，我们用sas生成的残差uhat，应该是y-xb-ai-vi吧？
但是我想要的是y-xb-vi,(就是把ai也放到残差里面）

怎么才能得到y-xb-vi呢？

哎，发现还是公式有发言权，语言好像确实说不清楚。

谢谢了：）

还是说如果用了absorb，ait(firm fixed effect)已经被纳入残差里面了？

notes:
一共有两种编程方法
1. absorb firm; class year;
2. class firm year;

一眼瞬间 发表于 2010-10-26 04:25
还是说如果用了absorb，ait(firm fixed effect)已经被纳入残差里面了？

notes:
一共有两种编程方法
1. absorb firm; class year;
2. class firm year;

I don’t use absorb. As my understanding, it is nothing but a quick computational technique. That is, you are supposed to have same coefficients for fixed effects and model information. However, since absorb factor is not playing a role on design matrix, many results are not given in the model, such as residuals. So the two models above have no difference.
I don’t know if the residual is additive. But I do believe type I ss is additive.

JingJu