proc panel and heteroscedasticity correction

[Sonyboy]

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

[ets_kps]

Hi Sonyboy,

In SAS 9.22 the most advanced heteroskedasticity SE correction is the option HCCME=4.  Reference for this correction is here.

SAS/ETS(R) 9.22 User's Guide

There is no canned correction for autocorrelation in that version.

Best of luck. -Ken

[ets_kps]

I should mention though that you can access the newest version of SAS here.

Try SAS® Now!

Which you can use as long as you follow the License agreement. -Ken