SAS Regression with Newey-West t-stat

Tim_sas_ — Wed, 22 Jul 2020 06:57:58 GMT

Hello,

I would like to apply a regression in SAS using the Newey-West t-stat.

Below I have used a basic regression applying the Proc Reg statement. Is it possible to apply the Newey-West correction of standard errors (for heteroscedasticity and autocorrelation) in this context or do I have to use the Proc Model statement?

My problem is that I currently only have access to the University edition which does not support Proc Model, hence I would like to use Proc Reg.

Many thanks for any help,

Tim

proc reg data=earnings;
	model earn_w = L1_earn_w L1_negE_w L1_NExE_w;
	where 2000 <= year <= 2010;
	ODS OUTPUT parameterestimates = par_est;
run; quit;

Re: SAS Regression with Newey-West t-stat

PaigeMiller — Wed, 22 Jul 2020 11:29:11 GMT

If you go to https://support.sas.com/en/support-home.html and type Newey West into the search bar, you find that the references are not to PROC REG, but all to PROC MODEL or PROC AUTOREG.

topic SAS Regression with Newey-West t-stat in SAS Procedures

SAS Regression with Newey-West t-stat

Re: SAS Regression with Newey-West t-stat