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Posted 11-19-2014 09:09 AM
(923 views)

I want to estimate the volatility of a variable which I already estimate with proc model. I know that I can save my variable and calculate its volatility with proc means but I want to estimate its volatility in proc model to test for its equality with another variable.

I try to do that to test for the equality of standard deviation of variables A and B.

test std(A)=std(B);

but it does not work. I have this message.

ERROR: The function STD requires at least 2 arguments. There are too few arguments for the

function STD.

1 REPLY 1

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The TEST statement only applies to the parameters estimated in the FIT statement. Unless you are estimating the standard deviation as one of the parameters, there will be no way to use TEST.

Equality of variances (standard deviations squared) can be tested in a datastep using an F test of the ratio of the two variances.

Steve Denham

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