topic proc panel and heteroscedasticity correction in Statistical Procedures

proc panel and heteroscedasticity correction

Sonyboy — Fri, 21 Aug 2015 12:31:39 GMT

Hi there,

A question about proc panel .

I know in the newer version of SAS, there is a new option « newey-west » that corrects for heteroscedasticity. However, I use the version 9.2 and that new optionality does not seem to exist.

My question is within the proc panel , does “hccme=4” do a similar and equally comprehensive correction to the what “newey-west” does in newer versions such as SAS 12.2? If not, I would appreciate a suggestion as to how to correct possible autocorrelation and heteroscedasticity issues while using proc panel in SAS 9.2?

Kind Regards

Re: proc panel and heteroscedasticity correction

ets_kps — Tue, 25 Aug 2015 20:49:36 GMT

Hi Sonyboy,

In SAS 9.22 the most advanced heteroskedasticity SE correction is the option HCCME=4. Reference for this correction is here.

SAS/ETS(R) 9.22 User's Guide

There is no canned correction for autocorrelation in that version.

Best of luck. -Ken

Re: proc panel and heteroscedasticity correction

ets_kps — Tue, 25 Aug 2015 20:51:25 GMT

I should mention though that you can access the newest version of SAS here.

Try SAS® Now!

Which you can use as long as you follow the License agreement. -Ken