Panel Data Analysis

[deleted_user]

I am currently using PROC TSCSREG for analyzing a panel data using PARKS method. I get the warniing message

"Estimated autoregression parameter RHO=1.129 did not satisfy |RHO|<1.0 criteria for cross
section GVKEY=1318. It will be set to a value within range.".

I am not sure why this is happening. Can somebody please help?

[deleted_user]

This is probably to be found somewhere in a mid to late chapter of the "Wiccan arts of time series analysis" and you'll need to discuss this with someone versed in this analysis.

It is certainly out of scope for a forum that discusses ODS and Base reporting methods.

A call to Tech Support is likely to be your best bet if you don't already have Dr John Brocklebank's collaborative work on time series analysis, or the ear of someone versed in Time Series analysis.

You might also try searching the web, support.sas.com or Lex Jansen's excellent online collection of SAS conference papers. I note too that many of the SAS publications are available online as PDFs through the SAS Publishing website and you may find something useful there.

Kind regards

David