topic Re: How to do Hausman test using SAS? in Statistical Procedures

How to do Hausman test using SAS?

aminkarimid — Fri, 08 Sep 2017 12:41:17 GMT

Hello everybody,

I have panel data and want to do Hausman test for fixed and random effect.

Here is my code:

Proc glm DATA=Sampledata_adjvol;
 absorb TRD_STCK_CD;
 class TRD_EVENT_ROUFOR;
 model adjusted_volume_5 = TRD_EVENT_ROUFOR / solution;
run;

Without using PROC PANEL or the panel procedure, how can I do that test?
Thanks in advance.

Re: How to do Hausman test using SAS?

SASKiwi — Wed, 06 Sep 2017 01:31:01 GMT

I'm the first to admit I know nothing about this test but this link suggests using the FIT statement on PROC MODEL:

http://support.sas.com/kb/30/333.html

Re: How to do Hausman test using SAS?

alexchien — Wed, 06 Sep 2017 13:03:13 GMT

I am not familiar with the Hausman test either but i think you can use PROC MIXED (in SAS/STAT) to get all the param estimates to compute the Hausman test statistic. Hope this helps.

Re: How to do Hausman test using SAS?

aminkarimid — Wed, 06 Sep 2017 20:01:11 GMT

Thanks @alexchien,
However the assumptions of this model are restricted:
The primary assumptions underlying the analyses performed by PROC MIXED are as follows:
The data are normally distributed (Gaussian).
The means (expected values) of the data are linear in terms of a certain set of parameters.
The variances and covariances of the data are in terms of a different set of parameters, and they exhibit a structure matching one of those available in PROC MIXED.

Re: How to do Hausman test using SAS?

alexchien — Wed, 06 Sep 2017 21:44:08 GMT

How about PROC NLMIXED? alex