BookmarkSubscribeRSS Feed
Calcite | Level 5

Hi all ,


I originally posted my question in the statistical procedures but maybe its better placed in this forum:



I'd like to perform Mincer-Zarnowitz regressions to test whether a forecast is associated with a forecast error that is unpredictable.


My equation is a simple OLS: Realized value = b0 + b1*Forecast.


Since my sample consists of yearly data, I run regressions annually, i.e. for each year I observe the coefficients for b0 and b1. In a next step, I build time-series averages for the coeffiicents, i.e. I build the mean over the yearly coefficients.


To see if there are systematic errors, I need to test whether the time-series average coefificent for the Forecast is statistically different from 1 using Newey West T statistics. For similar situations where I test if a sample mean of a series is statistically different from 0, I use the following procedure:


proc model data=two;
         endo Forecast;
         instruments / intonly;
         parms b0;
         fit Forecast / gmm kernel=(bart,5,0) vardef=n;


Is it possible to change this to 1? Otherwise, what would be the best way to get Newey West T-stats to test whether the coefficient for Forecast is statistically different from 1?


I already tried to add a test statement (e.g. test Forecast=1). However, I am afraid this delivers the Wald-test but not Newey West T stats.


Thanks in advance!

Community Manager

I deleted the duplicate post in the statistical procedures board, so all of the responses will go in one area.




It's time to register for SAS Innovate! Join your SAS user peers in Las Vegas on April 16-19 2024.




The early bird rate has been extended! Register by March 18 for just $695 - $100 off the standard rate.


Check out the agenda and get ready for a jam-packed event featuring workshops, super demos, breakout sessions, roundtables, inspiring keynotes and incredible networking events. 


Register now!

Multiple Linear Regression in SAS

Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.

Find more tutorials on the SAS Users YouTube channel.

Discussion stats
  • 1 reply
  • 2 in conversation