Wald tests in proc autoreg

ajt — Mon, 20 Dec 2010 21:55:01 GMT

I am running the following basic model:

proc autoreg data=a;
AR1: model y= x ylag;

and want to test x/(1-ylag)=1 using a wald test.

However, specifying this test does not work (I'm using SAS 8.2). Any ideas on how I could test this?

Re: Wald tests in proc autoreg

Dale — Wed, 22 Dec 2010 19:26:42 GMT

I presume that when you write that you want to test x/(1-ylag)=1, you really mean that you want to test b(x) / (1 - b(ylag)) = 1. That is, you want to test whether the parameter for x divided by 1 minus the parameter for ylag is equal to 1. Note that

b(x) / (1 - b(ylag)) = 1 => b(x) = 1 - b(ylag) => b(x) + b(ylag) = 1;

You should be able to test b(x) + b(ylag) = 1 with:

test x + ylag = 1;

topic Wald tests in proc autoreg in Statistical Procedures

Wald tests in proc autoreg

Re: Wald tests in proc autoreg