How to do Hausman test using sas? - sas

Question

I have panel data and want to do Hausman test for fixed and random effect.
Here is my code:
Proc glm DATA=Sampledata_adjvol;
absorb TRD_STCK_CD;
class TRD_EVENT_ROUFOR;
model adjusted_volume_5 = TRD_EVENT_ROUFOR / solution;
run;
Without using PROC PANEL or the panel procedure, how can I do that test?
Thanks in advance.

Answer 1

proc panel data = Sampledata_adjvol3;
id TRD_STCK_CD DateTime;
class TRD_EVENT_ROUFOR;
model adjusted_volume_5 = TRD_EVENT_ROUFOR / fixone;
run;
* Regression with dummy variables in approach 2;
* Creating dummy variables manually;
data Sampledata_adjvol3_1;
set Sampledata_adjvol3;
if TRD_EVENT_ROUNDED = 34200 then TRD_EVENT_ROUNDED_1 = 1;
else TRD_EVENT_ROUNDED_1 = 0;
if TRD_EVENT_ROUNDED = 36000 then TRD_EVENT_ROUNDED_2 = 1;
else TRD_EVENT_ROUNDED_2 = 0;
if TRD_EVENT_ROUNDED = 37800 then TRD_EVENT_ROUNDED_3 = 1;
else TRD_EVENT_ROUNDED_3 = 0;
if TRD_EVENT_ROUNDED = 39600 then TRD_EVENT_ROUNDED_4 = 1;
else TRD_EVENT_ROUNDED_4 = 0;
if TRD_EVENT_ROUNDED = 41400 then TRD_EVENT_ROUNDED_5 = 1;
else TRD_EVENT_ROUNDED_5 = 0;
if TRD_EVENT_ROUNDED = 43200 then TRD_EVENT_ROUNDED_6 = 1;
else TRD_EVENT_ROUNDED_6 = 0;
run;
proc sort data=Sampledata_adjvol3_1 out=Sampledata_adjvol3_1;
by TRD_STCK_CD DateTime;
run;
proc tscsreg data= Sampledata_adjvol3_1;
model adjusted_volume_5 = TRD_EVENT_ROUNDED_1 TRD_EVENT_ROUNDED_2 TRD_EVENT_ROUNDED_3 TRD_EVENT_ROUNDED_4
TRD_EVENT_ROUNDED_5 TRD_EVENT_ROUNDED_6/ fixone;
id TRD_STCK_CD datetime;
run;