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ubshams
Quartz | Level 8

 

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

 

1 ACCEPTED SOLUTION

Accepted Solutions
dw_sas
SAS Employee

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:

 

https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_autoreg_syntax05.htm&docsetVersi...

 

More details are available in the "Heteroscedasticity-and Autocorrelation-Consistent Covariance Matrix Estimator" section of the PROC AUTOREG documentation at the following link:

 

 https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_autoreg_details20.htm&docsetVers...

 

I hope this helps!

DW

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1 REPLY 1
dw_sas
SAS Employee

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:

 

https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_autoreg_syntax05.htm&docsetVersi...

 

More details are available in the "Heteroscedasticity-and Autocorrelation-Consistent Covariance Matrix Estimator" section of the PROC AUTOREG documentation at the following link:

 

 https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_autoreg_details20.htm&docsetVers...

 

I hope this helps!

DW

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