08-01-2014 12:14 PM
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
08-04-2014 08:48 AM
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...