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Tim_sas_
Obsidian | Level 7

Hello,

 

I would like to apply a regression in SAS using the Newey-West t-stat.

Below I have used a basic regression applying the Proc Reg statement. Is it possible to apply the Newey-West correction of standard errors (for heteroscedasticity and autocorrelation) in this context or do I have to use the Proc Model statement?

My problem is that I currently only have access to the University edition which does not support Proc Model, hence I would like to use Proc Reg.

 

Many thanks for any help,

 

Tim

 

proc reg data=earnings;
	model earn_w = L1_earn_w L1_negE_w L1_NExE_w;
	where 2000 <= year <= 2010;
	ODS OUTPUT parameterestimates = par_est;
run; quit;

 

1 REPLY 1
PaigeMiller
Diamond | Level 26

If you go to https://support.sas.com/en/support-home.html and type Newey West into the search bar, you find that the references are not to PROC REG, but all to PROC MODEL or PROC AUTOREG.

--
Paige Miller

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