Programming the statistical procedures from SAS

Proc PANEL: Autocorrelation, Unit Root for unbalanced data set

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Proc PANEL: Autocorrelation, Unit Root for unbalanced data set

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Hi,

I have a dataset with prepayment data,specifically CPR

I got high N, but relatively short T. Additionally my data set is highly unbalanced.

I want to test the panel for autocorrelation & unit root.
Durbin-Watson test does not apply since it only works for balanced panel data.

 

My model looks as follows:

 

proc panel data=..

...

model cpr = spread loan_age loan_age2 rgdp CPI /unitroot(..);
Unfortunately nothing seems to work. Additionally, i tried all of the following tests manually:

BREITUNG, COMBINATION (or FISHER), HADRI, HT, IPS, and LLC

But either my panel was too unbalanced, nor it told me that i dont have enough observations( eventough i have around 50,000 N), nor I got an error message that I am using too many lags(?). The Breitung tests even output me "floating point error"?.

Does someone have an idea or an alternative how i could fix this problem? Maybe there is another way of checking for autocorrelation & unit root of my panel?

Thanks,


KS

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