topic Re: Why am I getting a t-value = infinity or missing t value in SAS Forecasting and Econometrics

Why am I getting a t-value = infinity or missing t value

Khaladdin — Fri, 03 Nov 2017 14:57:08 GMT

I'm trying to understand why I'm getting an infinity or missing t-value for regression analysis (GARCH). It's a very large data set. Do you have any idea?

Thanks

Re: Why am I getting a t-value = infinity or missing t value

PaigeMiller — Fri, 03 Nov 2017 15:05:47 GMT

This usually happens because the denominator is zero. Or maybe you have zero degrees of freedom for an effect.

Could you please show us your output where you see this?

Re: Why am I getting a t-value = infinity or missing t value

PeterClemmensen — Fri, 03 Nov 2017 14:59:23 GMT

Can you show us your code and output?

Re: Why am I getting a t-value = infinity or missing t value

Khaladdin — Fri, 03 Nov 2017 15:10:23 GMT

My code is:

proc autoreg data=work;

model y = / garch=(p=1,q=1);

hetere x z a;

run;

I just use GARCH model with other explanatory variables.

My result is in attached file.

Re: Why am I getting a t-value = infinity or missing t value

Khaladdin — Fri, 03 Nov 2017 15:19:39 GMT

My code is:

proc autoreg data=work;

model y = / garch=(p=1,q=1);

hetere x z a;

run;

I just use GARCH model with other explanatory variables.

My result is in attached file.

EDIT (via Reeza)

The SAS System

The AUTOREG Procedure

GARCH Estimates
SSE	0.01656969	Observations	150
MSE	0.0001105	Uncond Var	3.05834E-8
Log Likelihood	574.554614	Total R-Square	.
SBC	-1114.0348	AIC	-1135.1092
MAE	0.00422601	AICC	-1134.3205
MAPE	100.402247	HQC	-1126.5474
		Normality Test	1294.3504
		Pr > ChiSq	<.0001

Parameter Estimates
Variable	DF	Estimate	Standard Error	t Value	Approx Pr > \|t\|
Intercept	1	-0.000035	0.001136	-0.03	0.9754
ARCH0	1	1.0537E-8	0	Infty	<.0001
ARCH1	1	0.6555	0.1366	4.80	<.0001
GARCH1	1	0	0	.	.
HET1	1	9.587E-10	0	Infty	<.0001
HET2	1	0	0	.	.
HET3	1	0	0	.

Re: Why am I getting a t-value = infinity or missing t value

Reeza — Fri, 03 Nov 2017 15:15:16 GMT

@Khaladdin wrote:

It's a very large data set. Do you have any idea?

Your regression results state that you only have 150 observations, so either you're not working with the data you think you are or something else is wrong somewhere.

Re: Why am I getting a t-value = infinity or missing t value

PaigeMiller — Fri, 03 Nov 2017 15:17:16 GMT

Can you show us the relevant portion of your output by simply copying and pasting the text right here into the {i} window? My organization will not let me download MS Office documents.

Re: Why am I getting a t-value = infinity or missing t value

Khaladdin — Fri, 03 Nov 2017 15:31:34 GMT

[Deleted, via @Reeza]

If you want to repost this, feel free, but it didn't seem relevant to the question or topic.

Re: Why am I getting a t-value = infinity or missing t value

Khaladdin — Fri, 03 Nov 2017 15:21:11 GMT

Oh sorry. I have uploaded wrong documents and away from my pc now. The key point is i got infinity or missing t values.

Re: Why am I getting a t-value = infinity or missing t value

Reeza — Fri, 03 Nov 2017 15:27:53 GMT

@Khaladdin wrote:
Oh sorry. I have uploaded wrong documents and away from my pc now. The key point is i got infinity or missing t values.

And there are valid reasons for this occurring. Without the results we can't say if it's valid or not.

Re: Why am I getting a t-value = infinity or missing t value

Khaladdin — Fri, 03 Nov 2017 15:33:10 GMT

Thanks for your reply. Lets talk about this particular data; the data that have 150 observations. What might be the reason?

Re: Why am I getting a t-value = infinity or missing t value

Khaladdin — Fri, 03 Nov 2017 16:11:24 GMT

Surely. This is result for 150 observations:

The AUTOREG Procedure

GARCH Estimates
SSE	0.01656969	Observations	150
MSE	0.0001105	Uncond Var	3.05834E-8
Log Likelihood	574.554614	Total R-Square	.
SBC	-1114.0348	AIC	-1135.1092
MAE	0.00422601	AICC	-1134.3205
MAPE	100.402247	HQC	-1126.5474
		Normality Test	1294.3504
		Pr > ChiSq	<.0001

Parameter Estimates
Variable	DF	Estimate	Standard Error	t Value	Approx Pr > \|t\|
Intercept	1	-0.000035	0.001136	-0.03	0.9754
ARCH0	1	1.0537E-8	0	Infty	<.0001
ARCH1	1	0.6555	0.1366	4.80	<.0001
GARCH1	1	0	0	.	.
HET1	1	9.587E-10	0	Infty	<.0001
HET2	1	0	0	.	.
HET3	1	0	0	.

Re: Why am I getting a t-value = infinity or missing t value

Reeza — Fri, 03 Nov 2017 16:16:33 GMT

I'm not too familiar with these models, but your standard errors are 0. What's the distribution of those variables?

Post a Proc Means or Proc Univariate output for the original input data?

Re: Why am I getting a t-value = infinity or missing t value

Khaladdin — Fri, 03 Nov 2017 16:21:22 GMT

Thanks for your reply. I can post them tomorrow.

Re: Why am I getting a t-value = infinity or missing t value

ShelleySessoms — Thu, 19 Apr 2018 15:04:30 GMT

For this type of question, it is best to contact SAS Tech Support: https://support.sas.com/en/technical-support.html#contact-technical-support

Best of luck to you,

Shelley