topic Re: Autocorrelation and Proc Panel in SAS Forecasting and Econometrics

Autocorrelation and Proc Panel

Lilly12 — Thu, 29 Nov 2012 01:03:55 GMT

How can I test autocorrelation of residuals for panel data. db test of autocorrelation does not work for Proc Panel. Any ideas?

Thanks

Re: Autocorrelation and Proc Panel

SteveDenham — Thu, 29 Nov 2012 13:38:14 GMT

Is there any possibility you can reframe your analysis so that PROC SYSLIN could be used?

Steve Denham

Re: Autocorrelation and Proc Panel

Lilly12 — Sun, 02 Dec 2012 09:11:11 GMT

Do you have any idea why the HAC option on proc panel statement is not working?

Re: Autocorrelation and Proc Panel

ets_kps — Wed, 05 Dec 2012 15:52:44 GMT

Hi Lilly,

I included this information in my other reply but just in case you didn't see this, the HAC options are only available in SAS/ETS 12.1. This version was released in August 2012. http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_panel_details33.htm

Please let me know if you are on 12.1 and you continue to have trouble with these options.

Thanks-Ken

Re: Autocorrelation and Proc Panel

aland — Mon, 13 Jan 2014 21:15:38 GMT

Any further discussion on this topic? I too am interested in easily testing proc panel residuals for auto-correlation.

I've used proc autoreg but it can only test them one at a time.

Re: Autocorrelation and Proc Panel

ting1 — Sat, 16 Jul 2016 02:28:31 GMT

Hello,

i am working with panel date set. I would like to test for panel stationarity, autocorrelation and cross sectiona dependence.

From the sas manual, I found "Hadri test"that tests stationarity,"rho" tests for autocorrelation, "Breush-pagan LM" tests for cross-sectional dependence". I wonder if someone can give an example of how to use these test and how to interprate the results.

Re: Autocorrelation and Proc Panel

ShelleySessoms — Wed, 20 Jul 2016 21:58:09 GMT

Hi @ting1,

I suggest you start a new message with this question. It will get more attention than having it attached to an existing thread. Feel free to reference this post in your question if it relates.

Good luck,

Shelley

Re: Autocorrelation and Proc Panel

ting1 — Thu, 21 Jul 2016 13:08:55 GMT

Hi Shelley,

Thanks is a good suggestion. Thanks very much!

Ting