Assistant Professor of Finance at Villanova University
SAS program to perform two-stage least squares regression with double clustered standard errors using proc IML. The model has one regressor and one instrument, and does not include intercepts, following Pastor, Stambaugh, & Taylor (2015).
Imports Russell Indexes constituent data and adds CRSP permnos. This code can be reused to load other sets of Excel files that have the same structure into SAS.