seeing hac values

[ubshams]

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

[dw_sas · Accepted solution]

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