Autocorrelation and Proc Panel

[Lilly12]

Hi

How can I test autocorrelation of residuals for panel data. db test of autocorrelation does not work for Proc Panel. Any ideas?

Thanks

[SteveDenham]

Is there any possibility you can reframe your analysis so that PROC SYSLIN could be used?

Steve Denham

[Lilly12]

Do you have any idea why the HAC option on proc panel statement is not working?

[ets_kps · Accepted solution]

Hi Lilly,

I included this information in my other reply but just in case you didn't see this, the HAC options are only available in SAS/ETS 12.1.  This version was released in August 2012. http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_panel_details3...

Please let me know if you are on 12.1 and you continue to have trouble with these options.

Thanks-Ken

[aland]

Any further discussion on this topic? I too am interested in easily testing proc panel residuals for auto-correlation.

I've used proc autoreg but it can only test them one at a time.

[ting1]

Hello,

i am working with panel date set. I would like to test for panel stationarity, autocorrelation and cross sectiona dependence. 

From the sas manual, I found "Hadri test"that tests stationarity,"rho" tests for autocorrelation, "Breush-pagan LM" tests for cross-sectional dependence". I wonder if someone can give an example of how to use these test and how to interprate the results.

[ShelleySessoms]

Hi @ting1,

I suggest you start a new message with this question. It will get more attention than having it attached to an existing thread. Feel free to reference this post in your question if it relates.

Good luck,

Shelley

[ting1]

Hi Shelley,

Thanks is a good suggestion. Thanks very much!

Ting