06-14-2016 11:29 AM
I was trying to do the GMM estimation in proc panel. But I see that AR test result is blank. It shows the following message in the log file:
WARNING: The ARTEST test cannot be calculated for one or more lags due to missing values in the
response and/or explanatory variable.
It shows the same message even if I removed the missing observations for my selected variables. How can I address this issue? is there other ways except proc panel to estimate GMM?