08-21-2015 08:31 AM
A question about proc panel .
I know in the newer version of SAS, there is a new option « newey-west » that corrects for heteroscedasticity. However, I use the version 9.2 and that new optionality does not seem to exist.
My question is within the proc panel , does “hccme=4” do a similar and equally comprehensive correction to the what “newey-west” does in newer versions such as SAS 12.2? If not, I would appreciate a suggestion as to how to correct possible autocorrelation and heteroscedasticity issues while using proc panel in SAS 9.2?
08-25-2015 04:49 PM
In SAS 9.22 the most advanced heteroskedasticity SE correction is the option HCCME=4. Reference for this correction is here.
There is no canned correction for autocorrelation in that version.
Best of luck. -Ken
08-25-2015 04:51 PM
I should mention though that you can access the newest version of SAS here.
Which you can use as long as you follow the License agreement. -Ken