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The SYSLIN Procedure |
The OUTEST= option produces a TYPE=EST output SAS data set containing estimates from the regressions. The variables in the OUTEST= data set are as follows:
The parameter estimates are stored under the names of the regressor variables. The intercept parameters are stored in the variable INTERCEP. The dependent variable of the model is given a coefficient of -1. Variables not in a model have missing values for the OUTEST= observations for that model.
Some estimation methods require computation of preliminary estimates. All estimates computed are output to the OUTEST= data set. For each BY group and each estimation, the OUTEST= data set contains one observation for each MODEL or IDENTITY statement. Results for different estimations are identified by the _TYPE_ variable.
For example, consider the following statements:
proc syslin data=a outest=est 3sls; by b; endogenous y1 y2; instruments x1-x4; model y1 = y2 x1 x2; model y2 = y1 x3 x4; identity x1 = x3 + x4; run;
The 3SLS method requires both a preliminary 2SLS stage and preliminary first stage regressions for the endogenous variable. The OUTEST= data set thus contains 3 different kinds of estimates. The observations for the first-stage regression estimates have the _TYPE_ value INST. The observations for the 2SLS estimates have the _TYPE_ value 2SLS. The observations for the final 3SLS estimates have the _TYPE_ value 3SLS.
Since there are 2 endogenous variables in this example, there are 2 first-stage regressions and 2 _TYPE_=INST observations in the OUTEST= data set. Since there are 2 model statements, there are 2 OUTEST= observations with _TYPE_=2SLS and 2 observations with _TYPE_=3SLS. In addition, the OUTEST= data set contains an observation with the _TYPE_ value IDENTITY containing the coefficients specified by the IDENTITY statement. All these observations are repeated for each BY-group in the input data set defined by the values of the BY variable B.
When the COVOUT option is specified, the estimated covariance matrix for the parameter estimates is included in the OUTEST= data set. Each observation for parameter estimates is followed by observations containing the rows of the parameter covariance matrix for that model. The row of the covariance matrix is identified by the variable _NAME_. For observations that contain parameter estimates, _NAME_ is blank. For covariance observations, _NAME_ contains the regressor name for the row of the covariance matrix, and the regressor variables contain the covariances.
See Example 19.1 for an example of the OUTEST= data set.
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