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Partial adjustment model

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Occasional Contributor
Posts: 8

Partial adjustment model

Hello, guys. I'm doing a project which requires to implement a model with adjustment for mean-reverting.

Basically, the model is like y(t)-y(t-1)=beta + (gamma_1 +gamma_2*x+gamm_2*x*z+gamma_3*z*l )*l+(lambda_1+lambda_2*k+lambda_3*k*n)*n+u

I'm wondering whether there is a quick way to run this regression with an estimate p-value.

Thank you so much in advance

XB

SAS Employee
Posts: 416

Re: Partial adjustment model

Hello -

This example might point you in the right direction: http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_autoreg_sect03...

Thanks,

Udo

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