How do I change my code to find that my model satisfies the assumption that E(U|X) = 0?

khalillx — Tue, 05 Feb 2019 22:35:31 GMT

So I'm doing a simulation exercise where I had to make the error time be correlated with the independent variable X and see what happens to the empirical distribution. So I changed my code from this :

data samples;

do samp = 1 to 1000;

do t = 1 to 100;

u = rannor(1996)*5;

x = 100 + 3*rannor(6991);

y = 10 + 0.5*x + u;

output;

end;

run;

to this:

data samples;

do samp = 1 to 1000;

do t = 1 to 100;

u = rannor(1996)*5;

x = 100 + 3*rannor(6991) + 0.3*u;

y = 10 + 0.5*x + u;

output;

end;

run;

Then I'm supposed to figure out of the model satisfies the assumption that E(U|X) = 0. To do this I have to run a single regression using only the first sample by putting WHERE SAMP=1 after the proc reg statement. Then I have to pull out the residuals and the predicted values of Y. Then I need t do a proc contents on the staset and have X,Y, Yhat, u and uhat in it. Then I need to calculate the correlation between X and uhat. I'm so confused how to go about this. Here is all my code if you guys can please help, thanks.

data samples;
do samp = 1 to 1000;
do t = 1 to 100;
u = rannor(1996)*5;
x = 100 + 3*rannor(6991) + 0.3*u;
y = 10 + 0.5*x + u;
output;
end;
end;
run;

proc corr;
where samp=1;
var x y u;
run;

proc reg data=samples outest=bvalues outseb noprint;
by samp;
model y = x;
run;

data one two;
set bvalues;
if _type_ ='PARMS' then output one;
else if _type_ ='SEB' then output two;
run;

proc sql;
create table mystuff
as select one.intercept as b0hat, one.x as b1hat,
two.intercept as seb0, two.x as seb1
from one, two
where one.samp = two.samp;
quit;

proc means data=mystuff;
var b0hat b1hat;
run;

proc univariate data=mystuff noprint;
var b0hat b1hat;
histogram / normal;
run;

proc reg data=samples WHERE SAMP=1 noprint;
by samp;
model y = x;
run;

Re: How do I change my code to find that my model satisfies the assumption that E(U|X) = 0?

Reeza — Tue, 05 Feb 2019 22:38:34 GMT

You can probably help us and yourself, i you indicate in your code (via comments) what you think each step is doing. You seem to understand what you want to do, but there's no link to your code as to which step is doing what.

Re: How do I change my code to find that my model satisfies the assumption that E(U|X) = 0?

khalillx — Tue, 05 Feb 2019 22:39:25 GMT

I copied and pasted all my code into the question.

Re: How do I change my code to find that my model satisfies the assumption that E(U|X) = 0?

Reeza — Wed, 06 Feb 2019 15:49:19 GMT

Your code has no comments. When you're coding commenting really does help you ensure your code is correct and it's a good habit to get into.

topic Re: How do I change my code to find that my model satisfies the assumption that E(U|X) = 0? in SAS Procedures

How do I change my code to find that my model satisfies the assumption that E(U|X) = 0?

Re: How do I change my code to find that my model satisfies the assumption that E(U|X) = 0?

Re: How do I change my code to find that my model satisfies the assumption that E(U|X) = 0?

Re: How do I change my code to find that my model satisfies the assumption that E(U|X) = 0?