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What do I need to do to see the HAC p-values/t-values to this regression?
proc autoreg data = model_input_6;
model depvariable= indpevariable;
run;
Thanks,
Umair
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Hi Umair,
To obtain HAC standard errors, t-values and p-values associated with the parameter estimates, you can add the COVEST=HAC option to the MODEL statement in your PROC AUTOREG step. For example:
model y = x / covest=hac;
Additional kernel and bandwidth options can be specified in parentheses after the COVEST=HAC option. For details, please see the documentation on the COVEST= option available at the following link:
More details are available in the "Heteroscedasticity-and Autocorrelation-Consistent Covariance Matrix Estimator" section of the PROC AUTOREG documentation at the following link:
I hope this helps!
DW
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Hi Umair,
To obtain HAC standard errors, t-values and p-values associated with the parameter estimates, you can add the COVEST=HAC option to the MODEL statement in your PROC AUTOREG step. For example:
model y = x / covest=hac;
Additional kernel and bandwidth options can be specified in parentheses after the COVEST=HAC option. For details, please see the documentation on the COVEST= option available at the following link:
More details are available in the "Heteroscedasticity-and Autocorrelation-Consistent Covariance Matrix Estimator" section of the PROC AUTOREG documentation at the following link:
I hope this helps!
DW