archtest reset godfrey test differences between weighted and non-weighted model

Jane7476 — Tue, 20 Jan 2015 15:27:38 GMT

Hi,

My question is will 'archtest, reset and godfrey' tests produce different output for a model when

- you include the weights option in proc reg

- exclude the weight option.

Alternative that I have is that:

I need these 3 tests but my problem is that proc reg doesn't support these tests as default code options. Autoreg supports these options but I don't think it has a weights option. So is there any way of producing these three tests in proc reg?

I am running following code:

proc reg data=test;

model actual=ind1 ind2;

restrict ind1=xxx;

weight w1;

quit;

proc autoreg data=test;

model actual=ind1 ind2/archtest reset godfrey;

quit;

Any thoughts?

Regards,

Re: archtest reset godfrey test differences between weighted and non-weighted model

SteveDenham — Fri, 23 Jan 2015 15:45:14 GMT

Short answer is no, PROC REG will not do this with any standard options.

Long answer--there may be a way to 'weight' observations and get the Godfrey, archtest and reset tests if you shift to PROC MODEL. It will take some coding, and I am afraid I am not the right person for that. Consider reposting this to the Forecasting and Econometrics forum--either Ken or Udo may have some ideas.

Steve Denhamn

topic Re: archtest reset godfrey test differences between weighted and non-weighted model in Statistical Procedures

archtest reset godfrey test differences between weighted and non-weighted model

Re: archtest reset godfrey test differences between weighted and non-weighted model