Unbalanced Panel Data: Checking for Autocorrelation & Unit Root - Methods and Procedures?

kosmirnov — Thu, 23 Mar 2017 08:33:48 GMT

Hi,

I have a dataset with prepayment data,specifically CPR

I got high N, but relatively short T. Additionally my data set is highly unbalanced.

I want to test the panel for autocorrelation & unit root.
Durbin-Watson test does not apply since it only works for balanced panel data.

My model looks as follows:

proc panel data=..

...

model cpr = spread loan_age loan_age2 rgdp CPI /unitroot(..);
Unfortunately nothing seems to work. Additionally, i tried all of the following tests manually:

BREITUNG, COMBINATION (or FISHER), HADRI, HT, IPS, and LLC

But either my panel was too unbalanced, nor it told me that i dont have enough observations( eventough i have around 50,000 N), nor I got an error message that I am using too many lags(?). The Breitung tests even output me "floating point error"?.

Does someone have an idea or an alternative how i could fix this problem? Maybe there is another way of checking for autocorrelation & unit root of my panel?

Thanks,

Re: Unbalanced Panel Data: Checking for Autocorrelation & Unit Root - Methods and Procedures?

bobby_sas — Thu, 23 Mar 2017 18:27:45 GMT

Normally these types of errors are the result of underlying regressions that fail due to excessive collinearity or missing values in key places. If KS can email be a data set and example, I'll be glad to take a closer look as to the exact cause.

--Bobby

topic Unbalanced Panel Data: Checking for Autocorrelation & Unit Root - Methods and Procedures? in SAS Forecasting and Econometrics

Unbalanced Panel Data: Checking for Autocorrelation & Unit Root - Methods and Procedures?

Re: Unbalanced Panel Data: Checking for Autocorrelation & Unit Root - Methods and Procedures?