Estimating the following:
proc panel data = input;
id gvkey rankyear;
model pers_a_diff = readj_quant readj_avg
/ fixtwo noint;
ods output FitStatistics = fit;
run;
quit;
yields:
However, I need HAC standard errors. Inserting the HAC option in the statement above as follows:
proc panel data = input;
id gvkey rankyear;
model pers_a_diff = readj_quant readj_avg
/ fixtwo noint hac;
ods output FitStatistics = fit;
run;
quit;
yields the following results:
That is, I do not get any standard errors at all. Why is that?
EDIT: What strikes me as even more surprising is that NEWEYWEST in fact yields standard errors (and NEWEYWEST are a special case of HAC standard errors as far as I am concerned).
Here is something buried in the documentation about HAC:
This option is not available for between models and cannot be combined with the HCCME option.
I suspect that your model falls into the first category.
SteveDenham
Here is something buried in the documentation about HAC:
This option is not available for between models and cannot be combined with the HCCME option.
I suspect that your model falls into the first category.
SteveDenham
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