topic Re: AR test in SAS Forecasting and Econometrics

AR test

mspak — Thu, 17 Nov 2016 09:30:47 GMT

Dear all,

I get an error messge as follows:

The ARTEST test cannot be calculated for one or more lags due to missing values in the response and/or explanatory variable.

May I know how can I overcome this problem?

Thank you.

Re: AR test

Ksharp — Thu, 17 Nov 2016 10:25:35 GMT

Which PROC are you using ?

Maybe you should use PROC EXPAND to interpolate these missing value .

Re: AR test

mspak — Thu, 17 Nov 2016 10:27:25 GMT

Hi,

proc panel data=Ad5;
instruments depvar ;
model AD = LAGXAD MB SGWTH CASH_AT1 CHG_WC YR01 YR02 YR03 YR04
YR05 YR06 YR07 YR08 YR09 YR10-YR15 IND01 IND04 IND05 IND06 IND07 IND08 IND09 IND10
/ gmm twostep maxband=5 artest = 2;
id gvkey fyear;
run;

It is a AR test in proc panel.

Re: AR test

TBeans — Tue, 22 Nov 2016 21:23:31 GMT

I get the same problem with the AR test in PROC PANEL even when my data are all non-missing.

To double check I ran:

proc means data = model_testing3 NMISS N;
RUN;

And indeed, all NMISS = 0.

In fact even when I try to remove the missing lags myself (before invoking PROC PANEL) the same error of "missing values" occurs.

I really hope the error isn't because PROC PANEL generates missing values when it takes first differences and takes the "appropriate lags" of depvar... but I don't see what else it could be.