topic Re: Davidson-MacKinnon test code in SAS Forecasting and Econometrics

Davidson-MacKinnon test code

Emranie — Thu, 27 Oct 2022 02:15:57 GMT

Hi Community,

Could you please assist me with syntax for testing:

1) functional form misspecification using the RESET test.

2)Davidson-MacKinnon test

thanks in advance

Re: Davidson-MacKinnon test code

Rick_SAS — Thu, 27 Oct 2022 10:26:02 GMT

Please be more specific. What do you mean by the Davidson-MacKinnon test? The SAS/ETS User's Guide mentions D&M with respect to testing for heteroscedasticity. There is an old example that mentions D&M for testing non-nested time-series regression models. Please provide more details or a reference.

Ramsey's reset test is available by using the RESET option on the MODEL statement in PROC AUTOREG.

Re: Davidson-MacKinnon test code

Emranie — Thu, 27 Oct 2022 15:04:44 GMT

Thank you Rick_SAS for a prompt response. I am looking for a code using the Davidson-MacKinnon test, test to see which (if any) of the alternative models in (1) or (2) is best. But for cross sectional data