Programming the statistical procedures from SAS

Wald tests in proc autoreg

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ajt
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Wald tests in proc autoreg

I am running the following basic model:

proc autoreg data=a;
AR1: model y= x ylag;

and want to test x/(1-ylag)=1 using a wald test.

However, specifying this test does not work (I'm using SAS 8.2). Any ideas on how I could test this?
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Posts: 169

Re: Wald tests in proc autoreg

I presume that when you write that you want to test x/(1-ylag)=1, you really mean that you want to test b(x) / (1 - b(ylag)) = 1. That is, you want to test whether the parameter for x divided by 1 minus the parameter for ylag is equal to 1. Note that

b(x) / (1 - b(ylag)) = 1     =>     b(x) = 1 - b(ylag)     =>     b(x) + b(ylag) = 1;

You should be able to test b(x) + b(ylag) = 1 with:

test x + ylag = 1;
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