topic Re: syslin stest F-value calculation: how to find numerator and denominator in SAS Forecasting and Econometrics

syslin stest F-value calculation: how to find numerator and denominator

acironin — Fri, 07 Jul 2017 19:48:55 GMT

Hello,

When I run proc syslin and include stest, the test result output includes: Num DF, Den DF, F Value, Pr>F. These are useful, but I also need the specific numerator (Model MS) and denominator (Error MS) values that are used to calculate the F-value (=num/denom). How can I get these numerator and denominator values displayed?

Thank you very much in advance.

Best regards,

Can (John)

PS: FYI, the stest code and the out I get are below:

STEST rco1.rco2LAG1=0, rco1.rco2LAG2=0, rco1.rco2LAG3=0, rco1.rco2LAG4=0;

SAS Output

Num DF	Den DF	F Value	Pr > F
4	1705473	19.22	0.0001

Re: syslin stest F-value calculation: how to find numerator and denominator

dw_sas — Tue, 11 Jul 2017 22:27:58 GMT

Hi Can,

Although PROC SYSLIN does not directly provide the numerator and denominator values associated with the F statistic, you can add the PRINT option to the STEST statement to obtain the intermediate computations. Matrix multiplication in SAS/IML can then be used to compute the numerator of the F statistic. The denominator is computed as the number of restrictions*system weighted MSE, where the number of restrictions is equal to the Numerator DF, and the system weighted MSE is part of the printed output of the procedure. Please see the following documentation link for additional details:

http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_syslin_syntax14.htm

I hope this helps!

Re: syslin stest F-value calculation: how to find numerator and denominator

acironin — Tue, 18 Jul 2017 18:25:50 GMT

Thank you very much for the response, DW, I really appreciate it.
Best regards,
Can

Re: syslin stest F-value calculation: how to find numerator and denominator

dw_sas — Wed, 19 Jul 2017 14:18:53 GMT

I'm glad the information helped, Can!

Best Regards,