03-23-2017 04:33 AM
I have a dataset with prepayment data,specifically CPR
I got high N, but relatively short T. Additionally my data set is highly unbalanced.
I want to test the panel for autocorrelation & unit root.
Durbin-Watson test does not apply since it only works for balanced panel data.
My model looks as follows:
proc panel data=..
model cpr = spread loan_age loan_age2 rgdp CPI /unitroot(..);
Unfortunately nothing seems to work. Additionally, i tried all of the following tests manually:
BREITUNG, COMBINATION (or FISHER), HADRI, HT, IPS, and LLC
But either my panel was too unbalanced, nor it told me that i dont have enough observations( eventough i have around 50,000 N), nor I got an error message that I am using too many lags(?). The Breitung tests even output me "floating point error"?.
Does someone have an idea or an alternative how i could fix this problem? Maybe there is another way of checking for autocorrelation & unit root of my panel?
03-23-2017 02:27 PM - edited 03-23-2017 02:27 PM
Normally these types of errors are the result of underlying regressions that fail due to excessive collinearity or missing values in key places. If KS can email be a data set and example, I'll be glad to take a closer look as to the exact cause.