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Khaladdin
Quartz | Level 8

I'm trying to understand why I'm getting an infinity or missing t-value for regression analysis (GARCH). It's a very large data set. Do you have any idea?

 

Thanks

1 ACCEPTED SOLUTION

Accepted Solutions
ShelleySessoms
Community Manager

For this type of question, it is best to contact SAS Tech Support: https://support.sas.com/en/technical-support.html#contact-technical-support

 

Best of luck to you,

Shelley

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14 REPLIES 14
PaigeMiller
Diamond | Level 26

This usually happens because the denominator is zero. Or maybe you have zero degrees of freedom for an effect.

 

Could you please show us your output where you see this?

--
Paige Miller
Khaladdin
Quartz | Level 8

My code is:

 

     proc autoreg data=work;

     model y = / garch=(p=1,q=1);

     hetere x z a;

     run;

 

I just use GARCH model with other explanatory variables.

My result is in attached file. 

 
PeterClemmensen
Tourmaline | Level 20

Can you show us your code and output?

Khaladdin
Quartz | Level 8

My code is:

 

     proc autoreg data=work;

     model y = / garch=(p=1,q=1);

     hetere x z a;

     run;

 

I just use GARCH model with other explanatory variables.

My result is in attached file. 

 

EDIT (via Reeza)

 

The SAS System

 

The AUTOREG Procedure

GARCH Estimates

SSE

0.01656969

Observations

150

MSE

0.0001105

Uncond Var

3.05834E-8

Log Likelihood

574.554614

Total R-Square

.

SBC

-1114.0348

AIC

-1135.1092

MAE

0.00422601

AICC

-1134.3205

MAPE

100.402247

HQC

-1126.5474

 

 

Normality Test

1294.3504

 

 

Pr > ChiSq

<.0001

 

Parameter Estimates

Variable

DF

Estimate

Standard
Error

t Value

Approx
Pr > |t|

Intercept

1

-0.000035

0.001136

-0.03

0.9754

ARCH0

1

1.0537E-8

0

Infty

<.0001

ARCH1

1

0.6555

0.1366

4.80

<.0001

GARCH1

1

0

0

.

.

HET1

1

9.587E-10

0

Infty

<.0001

HET2

1

0

0

.

.

HET3

1

0

0

.

 

 

PaigeMiller
Diamond | Level 26

Can you show us the relevant portion of your output by simply copying and pasting the text right here into the {i} window? My organization will not let me  download MS Office documents.

--
Paige Miller
Khaladdin
Quartz | Level 8

Surely. This is result for 150 observations:

 

The AUTOREG Procedure

GARCH Estimates

SSE

0.01656969

Observations

150

MSE

0.0001105

Uncond Var

3.05834E-8

Log Likelihood

574.554614

Total R-Square

.

SBC

-1114.0348

AIC

-1135.1092

MAE

0.00422601

AICC

-1134.3205

MAPE

100.402247

HQC

-1126.5474

 

 

Normality Test

1294.3504

 

 

Pr > ChiSq

<.0001

 

Parameter Estimates

Variable

DF

Estimate

Standard
Error

t Value

Approx
Pr > |t|

Intercept

1

-0.000035

0.001136

-0.03

0.9754

ARCH0

1

1.0537E-8

0

Infty

<.0001

ARCH1

1

0.6555

0.1366

4.80

<.0001

GARCH1

1

0

0

.

.

HET1

1

9.587E-10

0

Infty

<.0001

HET2

1

0

0

.

.

HET3

1

0

0

.

 
Reeza
Super User

I'm not too familiar with these models, but your standard errors are 0. What's the distribution of those variables?

Post a Proc Means or Proc Univariate output for the original input data?

Khaladdin
Quartz | Level 8
Thanks for your reply. I can post them tomorrow.
Reeza
Super User

@Khaladdin wrote:

 It's a very large data set. Do you have any idea?

 

 


Your regression results state that you only have 150 observations, so either you're not working with the data you think you are or something else is wrong somewhere.

Khaladdin
Quartz | Level 8

[Deleted, via @Reeza]

 

If you want to repost this, feel free, but it didn't seem relevant to the question or topic.

Khaladdin
Quartz | Level 8
Oh sorry. I have uploaded wrong documents and away from my pc now. The key point is i got infinity or missing t values.
Reeza
Super User

@Khaladdin wrote:
Oh sorry. I have uploaded wrong documents and away from my pc now. The key point is i got infinity or missing t values.

And there are valid reasons for this occurring. Without the results we can't say if it's valid or not. 

 

Khaladdin
Quartz | Level 8
Thanks for your reply. Lets talk about this particular data; the data that have 150 observations. What might be the reason?
ShelleySessoms
Community Manager

For this type of question, it is best to contact SAS Tech Support: https://support.sas.com/en/technical-support.html#contact-technical-support

 

Best of luck to you,

Shelley

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