If you specify HCCME = option on the MODEL statement with a fixed effects model, then standard errors on some parameters are incorrect. Specifically, for FIXONETIME model, the standard errors for all parameters are incorrect. For FIXONE model, the standard errors for the cross sectional dummy variables are incorrect, but standard errors for the intercept and regression parameters are correct. For FIXTWO model, the standard errors for the intercept and dummy variables are incorrect, but standard errors for regression parameters are correct.

There is no circumvention to this problem. However, you may specify the fixed effects model using dummy variables in PROC MODEL and specify HCCME = option on the FIT statement.