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syslin stest F-value calculation: how to find numerator and denominator

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syslin stest F-value calculation: how to find numerator and denominator

Hello,

 

When I run proc syslin and include stest, the test result output includes: Num DF, Den DF, F Value, Pr>F. These are useful, but I also need the specific numerator (Model MS) and denominator (Error MS) values that are used to calculate the F-value (=num/denom). How can I get these numerator and denominator values displayed?

 

Thank you very much in advance.

Best regards,

Can (John)

 

PS: FYI, the stest code and the out I get are below:

STEST rco1.rco2LAG1=0, rco1.rco2LAG2=0, rco1.rco2LAG3=0, rco1.rco2LAG4=0;

SAS Output

Num DF Den DF F Value Pr > F
4 1705473 19.22 0.0001

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‎07-18-2017 02:24 PM
SAS Employee
Posts: 26

Re: syslin stest F-value calculation: how to find numerator and denominator

Hi Can,

 

Although PROC SYSLIN does not directly provide the numerator and denominator values associated with the F statistic, you can add the PRINT option to the STEST statement to obtain the intermediate computations.  Matrix multiplication in SAS/IML can then be used to compute the numerator of the F statistic.  The denominator is computed as the number of restrictions*system weighted MSE, where the number of restrictions is equal to the Numerator DF, and the system weighted MSE is part of the printed output of the procedure.  Please see the following documentation link for additional details:

 

http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_syslin_syntax1...

 

I hope this helps!

DW

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‎07-18-2017 02:24 PM
SAS Employee
Posts: 26

Re: syslin stest F-value calculation: how to find numerator and denominator

Hi Can,

 

Although PROC SYSLIN does not directly provide the numerator and denominator values associated with the F statistic, you can add the PRINT option to the STEST statement to obtain the intermediate computations.  Matrix multiplication in SAS/IML can then be used to compute the numerator of the F statistic.  The denominator is computed as the number of restrictions*system weighted MSE, where the number of restrictions is equal to the Numerator DF, and the system weighted MSE is part of the printed output of the procedure.  Please see the following documentation link for additional details:

 

http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_syslin_syntax1...

 

I hope this helps!

DW

New Contributor
Posts: 3

Re: syslin stest F-value calculation: how to find numerator and denominator

Thank you very much for the response, DW, I really appreciate it.
Best regards,
Can
SAS Employee
Posts: 26

Re: syslin stest F-value calculation: how to find numerator and denominator

I'm glad the information helped, Can!

 

Best Regards,

DW

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