I want to estimate the volatility of a variable which I already estimate with proc model. I know that I can save my variable and calculate its volatility with proc means but I want to estimate its volatility in proc model to test for its equality with another variable
I try to do that to test for the equality of standard deviation of variables A and B.
test std(A)=std(B);
but it does not work. I have this message.
ERROR: The function STD requires at least 2 arguments. There are too few arguments for the
function STD.
I would guess that you may have to output the residual variance estimates and conduct an F test outside of PROC MODEL in a datastep to check this. As always, with PROC MODEL questions, it is a good idea to cross post to the Forecasting and Econometrics forum, where the good folks there will get a chance to address this faster.
Steve Denham
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