11-17-2016 04:30 AM
I get an error messge as follows:
The ARTEST test cannot be calculated for one or more lags due to missing values in the response and/or explanatory variable.
May I know how can I overcome this problem?
11-17-2016 05:27 AM
proc panel data=Ad5;
instruments depvar ;
model AD = LAGXAD MB SGWTH CASH_AT1 CHG_WC YR01 YR02 YR03 YR04
YR05 YR06 YR07 YR08 YR09 YR10-YR15 IND01 IND04 IND05 IND06 IND07 IND08 IND09 IND10
/ gmm twostep maxband=5 artest = 2;
id gvkey fyear;
It is a AR test in proc panel.
11-22-2016 04:23 PM
I get the same problem with the AR test in PROC PANEL even when my data are all non-missing.
To double check I ran:
proc means data = model_testing3 NMISS N; RUN;
And indeed, all NMISS = 0.
In fact even when I try to remove the missing lags myself (before invoking PROC PANEL) the same error of "missing values" occurs.
I really hope the error isn't because PROC PANEL generates missing values when it takes first differences and takes the "appropriate lags" of depvar... but I don't see what else it could be.