topic P value and T value calculation in SAS Programming

P value and T value calculation

Xinhui — Wed, 27 Nov 2019 22:16:45 GMT

Hi there

I used following code:

proc means data=master_1;
Var r;
by t;
OUTPUT out = final;
RUN;

I got mean std;

I'm wondering how can I get t value and P in this case. What code should I use?

Re: P value and T value calculation

ballardw — Wed, 27 Nov 2019 22:30:11 GMT

You can get a T value by requesting the T statistic. (Confusing as you have a variable named T);

A P value requires a test. What test do want to run?

Re: P value and T value calculation

Xinhui — Wed, 27 Nov 2019 22:57:33 GMT

T is a veriable ”time"

t has value 1,2,3,.....18,

R is the return,

I have 500 firms' data in the sample.

I want to get T-statistic and P vlue for returns, based on different groups of samples by t, T=1,2....18.

Re: P value and T value calculation

ballardw — Wed, 27 Nov 2019 23:10:25 GMT

@Xinhui wrote:

T is a veriable ”time"

t has value 1,2,3,.....18,

R is the return,

I have 500 firms' data in the sample.

I want to get T-statistic and P vlue for returns, based on different groups of samples by t, T=1,2....18.

I say again: to have a P-value you have to conduct a statistical test. So what exact statistical test is your P-value supposed to reflect? Do you want to test that R is not 0? Is greater than 10? Less than 100? That the value of R is different at T=1 compared to T=2?

You can get a t-value p-value related to testing if the variable = 0 with this in proc means:

proc means data=sashelp.class mean std t probt;
  class sex;
  var height;
run;

If you need to test that the hypothesized value of the mean is something besides 0 you'll need to go to a different procedure. Which gets back to what do you want to test?

Re: P value and T value calculation

Reeza — Wed, 27 Nov 2019 23:10:43 GMT

What's the hypothesis you're testing?

Re: P value and T value calculation

Xinhui — Wed, 27 Nov 2019 23:12:43 GMT

my hypothsis is

h0: r=0;

h1: r not equal to 0;

Re: P value and T value calculation

Reeza — Wed, 27 Nov 2019 23:16:57 GMT

Then you can use PROC Univariate as designed.
See the different statistics and keywords and definitions here:
https://documentation.sas.com/?docsetId=proc&docsetTarget=p0v0y1on1hbxukn0zqgsp5ky8hc0.htm&docsetVersion=9.4&locale=en

You want PROBT for a two tailed p-value.

Re: P value and T value calculation

Xinhui — Wed, 27 Nov 2019 23:19:42 GMT

I got what I want

Thank you very much