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Unbalanced Panel Data: Checking for Autocorrelation & Unit Root - Methods and Procedures?

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Occasional Contributor
Posts: 8

Unbalanced Panel Data: Checking for Autocorrelation & Unit Root - Methods and Procedures?

Hi,

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?

Thanks,


KS

SAS Employee
Posts: 17

Re: Unbalanced Panel Data: Checking for Autocorrelation & Unit Root - Methods and Procedures?

[ Edited ]
Posted in reply to kosmirnov

 

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.

 

--Bobby

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