Hello,
reading the paper I believe we don't have a direct implementation of this method in SAS. You can, however, use the AUTOREG or REG procedures to run OLS, get the residuals with the OUTPUT statement and calculate standard errors (equation 😎 in IML. Since the assymptotic distribution of the parameter estimates follows the normal distribution, large sample p-values for the two sided test are also easy to obtain in IML. The paper also suggests that the small sample empirical distribution is different from the assymptotic distribution and therefore if the sample is small the p-values might need to be obtain from a monte carlo simulation.
Thank you for posting,
Jan
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