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Autocorrelation and Proc Panel

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Occasional Contributor
Posts: 16
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Autocorrelation and Proc Panel

Hi

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

Thanks


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Wednesday
SAS Employee
Posts: 89

Re: Autocorrelation and Proc Panel

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

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Respected Advisor
Posts: 2,655

Re: Autocorrelation and Proc Panel

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

Steve Denham

Occasional Contributor
Posts: 16

Re: Autocorrelation and Proc Panel

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

Solution
Wednesday
SAS Employee
Posts: 89

Re: Autocorrelation and Proc Panel

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

Occasional Contributor
Posts: 6

Re: Autocorrelation and Proc Panel

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.

Occasional Contributor
Posts: 5

Re: Autocorrelation and Proc Panel

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.

Community Manager
Posts: 347

Re: Autocorrelation and Proc Panel

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

Occasional Contributor
Posts: 5

Re: Autocorrelation and Proc Panel

Hi Shelley,

Thanks is a good suggestion. Thanks very much!

Ting
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