Hi there,
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?
Kind Regards
Hi Sonyboy,
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
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
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