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The TSCSREG Procedure |

PROC TSCSREG writes the parameter estimates to an output data set when the OUTEST= option is specified. The OUTEST= data set contains the following variables:

- _MODEL_
- a character variable containing the label for the
MODEL statement if a label is specified
- _METHOD_
- a character variable identifying the estimation method.
Current methods are FULLER, PARKS, and DASILVA.
- _TYPE_
- a character variable that identifies the type of observation.
Values of the _TYPE_ variable are CORRB, COVB, CSPARMS, and PARMS;
the CORRB observation contains correlations of the parameter estimates;
the COVB observation contains covariances of the parameter estimates;
the CSPARMS observation contains cross-sectional parameter estimates;
and the PARMS observation contains parameter estimates.
- _NAME_
- a character variable containing the name of a
regressor variable for COVB and CORRB observations
and left blank for other observations.
The _NAME_ variable is used in conjunction with the _TYPE_ values
COVB and CORRB to identify rows of the correlation or covariance matrix.
- _DEPVAR_
- a character variable containing the name of the
response variable
- _MSE_
- the mean square error of the transformed model
- _CSID_
- the value of the cross section ID for CSPARMS observations.
_CSID_ is used with the _TYPE_ value CSPARMS to identify the cross section
for the first order autoregressive parameter estimate contained in the
observation.
_CSID_ is missing for observations with other _TYPE_ values.
(Currently only the _A_1 variable contains values for CSPARMS observations.)
- _VARCS_
- the variance component estimate due to cross sections.
_VARCS_ is included in the OUTEST= data set when either
the FULLER or DASILVA option is specified.
- _VARTS_
- the variance component estimate due to time series.
_VARTS_ is included in the OUTEST= data set when either
the FULLER or DASILVA option is specified.
- _VARERR_
- the variance component estimate due to error.
_VARERR_ is included in the OUTEST= data set when
the FULLER option is specified.
- _A_1
- the first order autoregressive parameter estimate.
_A_1 is included in the OUTEST= data set when the PARKS option is
specified.
The values of _A_1 are cross-sectional parameters, meaning that
they are estimated for each cross section separately.
_A_1 has a value only for _TYPE_=CSPARMS observations.
The cross section to which the estimate belongs is
indicated by the _CSID_ variable.
- INTERCEP
- the intercept parameter estimate.
(INTERCEP will be missing for models for which the NOINT
option is specified.)
- regressors
- the regressor variables specified in the MODEL statement. The regressor variables in the OUTEST= data set contain the corresponding parameter estimates for the model identified by _MODEL_ for _TYPE_=PARMS observations, and the corresponding covariance or correlation matrix elements for _TYPE_=COVB and _TYPE_=CORRB observations. The response variable contains the value -1 for the _TYPE_=PARMS observation for its model.

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