topic Can I get F-value or wald test result in proc robustreg? in New SAS User

Can I get F-value or wald test result in proc robustreg?

MonoLight — Wed, 29 May 2019 16:14:24 GMT

Hi there.

I'm currently using proc robustreg for my data.

And I found out that it doesn't return or print F-value for it. I only have found that robustreg does p test and R^2 test(which is indirect wald test).

Is there any way I can do wald test or get its result in my robust regression model?

Thank you in advance.

Re: Can I get F-value or wald test result in proc robustreg?

Rick_SAS — Wed, 29 May 2019 19:06:08 GMT

I assume you are talking about the TEST statement?

The TEST statement implements robust versions of the tests you are talking about. The rho test is a robust version of the standard F test and the R^2 test is a robust version of the Wald test. See the documentation page here.

The reason the standard F and Wald test is not implemented is that the estimates do not have the same asymptotic distribution as in the least squares model.

Re: Can I get F-value or wald test result in proc robustreg?

MonoLight — Thu, 30 May 2019 11:06:45 GMT

Thank you as always Rick. I had looked the statement, but I was curious if there is any other way to get F.
But your kind explanation of why F and Wald test is not implemented is quite far enough for me.

Thank you!