03-27-2014 11:05 AM
I want to do Multivariate Multiple Regression test that simultaneously tests all regression parameters to be zero.
I can do this in PROC REG, but I can't figure out if it is possible to do perform the calculation using PROC GLM.
Below is a minimial working example. I want an invocation of GLM which gives me Wilks test:
Statistic Value F Value Num DF Den DF Pr > F
Wilks' Lambda 0.86889685 3.49 4 192 0.0088
The actual value will depend on the simulation.L
Can this be done?
data thedata(keep=x1 x2 x3 x4);
retain seed 0;
do i=1 to 100;
x1 = rannor(seed);
x2 = rannor(seed);
x3 = rannor(seed);
x4 = rannor(seed);
PROC REG DATA=thedata;
MODEL x1 x2 = x3 x4;
03-27-2014 01:47 PM
Another option is Proc CALIS with a path analysis model.
If don't want to restrict the paths to be equal for X1 and X2,
use different path names.
ods html path="c:\temp"; ods graphics on;
proc calis data=thedata method=ml kurtosis modification plots=residuals effpart;
X3 X4 ---> X1= P_X3_X1N2 P_X4_X1N2 ,
X3 X4 ---> X2= P_X3_X1N2 P_X4_X1N2;
TestPath=P_X3_X1N2 - P_X4_X1N2;
ods graphics off; ods html close;
I think the test statistic will be a Wald statistic.
Hope this helps.
03-27-2014 03:31 PM
I'm not familiar with PROC CALIS, so I at the moment so I can't tell if it performs the test I'm looking for - but
this is definitely helpful and worth looking into.
03-27-2014 04:01 PM
I'm not all that familiar with PROC CALIS either, but I have two concerns
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