BookmarkSubscribeRSS Feed
🔒 This topic is solved and locked. Need further help from the community? Please sign in and ask a new question.
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

View solution in original post

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

sas-innovate-white.png

Missed SAS Innovate in Orlando?

Catch the best of SAS Innovate 2025 — anytime, anywhere. Stream powerful keynotes, real-world demos, and game-changing insights from the world’s leading data and AI minds.

 

Register now

Discussion stats
  • 1 reply
  • 2523 views
  • 0 likes
  • 2 in conversation