Newey West T-stat different from 1 - Mincer-Zarnowitz Regression

sas_pete — Thu, 18 Jan 2018 10:00:54 GMT

Hi all ,

I originally posted my question in the statistical procedures but maybe its better placed in this forum:

I'd like to perform Mincer-Zarnowitz regressions to test whether a forecast is associated with a forecast error that is unpredictable.

My equation is a simple OLS: Realized value = b0 + b1*Forecast.

Since my sample consists of yearly data, I run regressions annually, i.e. for each year I observe the coefficients for b0 and b1. In a next step, I build time-series averages for the coeffiicents, i.e. I build the mean over the yearly coefficients.

To see if there are systematic errors, I need to test whether the time-series average coefificent for the Forecast is statistically different from 1 using Newey West T statistics. For similar situations where I test if a sample mean of a series is statistically different from 0, I use the following procedure:

proc model data=two;
         endo Forecast;
         instruments / intonly;
         parms b0;
         Forecast=b0;
         fit Forecast / gmm kernel=(bart,5,0) vardef=n;
         run; 
         quit;

Is it possible to change this to 1? Otherwise, what would be the best way to get Newey West T-stats to test whether the coefficient for Forecast is statistically different from 1?

I already tried to add a test statement (e.g. test Forecast=1). However, I am afraid this delivers the Wald-test but not Newey West T stats.

Thanks in advance!

Re: Newey West T-stat different from 1 - Mincer-Zarnowitz Regression

ShelleySessoms — Thu, 18 Jan 2018 14:30:33 GMT

I deleted the duplicate post in the statistical procedures board, so all of the responses will go in one area.

Best,

Shelley

topic Re: Newey West T-stat different from 1 - Mincer-Zarnowitz Regression in SAS Forecasting and Econometrics

Newey West T-stat different from 1 - Mincer-Zarnowitz Regression

Re: Newey West T-stat different from 1 - Mincer-Zarnowitz Regression