SAS fixed effects regression

SAS_fixed_effects.sas

/* requires sorting */
proc sort data = myData; by gvkey;run;

/* glm */
proc glm data = myData;
  absorb gvkey;
  ods output	ParameterEstimates  	= work.params 
	        FitStatistics 		= work.fit
            	NObs 			= work.obs;
  model depvar = indep1 indep2  / solution ; 
quit;

/* similar with fixed effects estimates (slower) */
proc glm data = myData;
  class gvkey; /* instead of absorb */
  ods output	ParameterEstimates  	= work.params 
	        FitStatistics 		= work.fit
            	NObs 			= work.obs;
  /* adding gvkey gives coefficient for each gvkey*/
  model depvar = indep1 indep2 gvkey / solution ; 
quit;