01-20-2015 10:27 AM
My question is will 'archtest, reset and godfrey' tests produce different output for a model when
- you include the weights option in proc reg
- exclude the weight option.
Alternative that I have is that:
I need these 3 tests but my problem is that proc reg doesn't support these tests as default code options. Autoreg supports these options but I don't think it has a weights option. So is there any way of producing these three tests in proc reg?
I am running following code:
proc reg data=test;
model actual=ind1 ind2;
proc autoreg data=test;
model actual=ind1 ind2/archtest reset godfrey;
01-23-2015 10:45 AM
Short answer is no, PROC REG will not do this with any standard options.
Long answer--there may be a way to 'weight' observations and get the Godfrey, archtest and reset tests if you shift to PROC MODEL. It will take some coding, and I am afraid I am not the right person for that. Consider reposting this to the Forecasting and Econometrics forum--either Ken or Udo may have some ideas.