topic testing the equatility of parameters in proc model in Statistical Procedures

testing the equatility of parameters in proc model

sasphd — Wed, 12 Nov 2014 17:27:15 GMT

I want to estimate the volatility of a variable which I already estimate with proc model. I know that I can save my variable and calculate its volatility with proc means but I want to estimate its volatility in proc model to test for its equality with another variable

Re: proc model linear

sasphd — Wed, 12 Nov 2014 17:35:36 GMT

I try to do that to test for the equality of standard deviation of variables A and B.

test std(A)=std(B);

but it does not work. I have this message.

ERROR: The function STD requires at least 2 arguments. There are too few arguments for the

function STD.

Re: proc model linear

SteveDenham — Thu, 13 Nov 2014 12:38:42 GMT

I would guess that you may have to output the residual variance estimates and conduct an F test outside of PROC MODEL in a datastep to check this. As always, with PROC MODEL questions, it is a good idea to cross post to the Forecasting and Econometrics forum, where the good folks there will get a chance to address this faster.

Steve Denham