Regressing panel data in SAS.

Question

Hey Guys,

thanks to your help I succesfully managed all my databases! I am now looking at a panel data set on which I have to regress. Since I only started my Phd this semester together with the econometrics courses I am still new to many statistic applications and regression methods. I want to do a simple regression as in Y = x1 x2 x3 etc, now I already browsed through some literature and found that for panel data it's common to do a fixed effects regression. Also, my Y variable only has positive values so I was thinking in the direction of a Tobit model?

I'm doing some research concerning the coverage of analysts in the financial business. My independent variable is the coverage of analysts on a certain firm, so per observation i have 1 analyst and 1 firm, together with different characteristics(market cap and betas etc) of the firm. All this data is monthly. As coverage cannot become negative (only 0) I was thinking of a Tobit model?

Do you guys have any ideas what would be a good regression method? Or have some good sources (e books, written books, through university I have access to almost anything concerning my field of work) of information (cause I do have to learn these things for future research)?

Thanks!

Answer 1

Fixed effects regression will be wrong. Your data are correlated across months, at least. In SAS/STAT you would use proc glimmix. SAS/ETS may have other procs which can do tobit links. Maybe proc qlim? For a first-year grad student this is pretty advanced. Suggest you get some help from a more senior colleague.