topic Re: Access T-Value form proc autoreg step in SAS Programming

Access T-Value form proc autoreg step

russell23 — Wed, 23 Jun 2021 16:59:31 GMT

Hi! I'm doing a proc autoreg statement and I want to access the T-Value of my first variable. I'm performing the Regression on every month in the dataset (hpid is the id of the first month). Using the outest statement I can get my variable log_hv_iv_diff for every month into one dataset, but I cant figure out how to access the associated T-Value. It would be the best if I could write teh T-Value into the same dataset. Can anyone help? Thanks!

Code:

proc sort data=vola_deciles out=pre_processed_data;
by hpid cp_flag;
run;

proc autoreg data=pre_processed_data plots=none outest=results_reg NOPRINT;
model &return=log_hv_iv_diff / covest=neweywest;
by hpid cp_flag;
run;

proc delete data=pre_processed_data;
run;

Re: Access T-Value form proc autoreg step

PaigeMiller — Wed, 23 Jun 2021 17:04:34 GMT

ods trace on;
proc autoreg data=pre_processed_data plots=none outest=results_reg NOPRINT;
model &return=log_hv_iv_diff / covest=neweywest;
by hpid cp_flag;
run;
ods trace off;

This will write to your LOG the actual name of the output you want. (If I could read German, I could probably figure it out from the SAS documentation).

Once you have that actual name, you can then do the following

proc autoreg data=pre_processed_data plots=none outest=results_reg NOPRINT;
ods output actualname = somedatasetname;
model &return=log_hv_iv_diff / covest=neweywest;
by hpid cp_flag;
run;

Re: Access T-Value form proc autoreg step

Rick_SAS — Wed, 23 Jun 2021 17:22:11 GMT

See the explanation and examples at "ODS OUTPUT: Store any statistic created by any SAS procedure."

Re: Access T-Value form proc autoreg step

russell23 — Thu, 01 Jul 2021 08:12:28 GMT

Thanks to PaigeMiller and Rick_SAS! Both of your answers really helped and it didn't take me long to finish the task!