comp.soft-sys.sas - The SAS statistics package.
One can test for the presence of heteroskedasticity in many ways. Two that are commonly used in SAS are the SPEC option in Proc Reg, and the White option in Proc Model. Now, I am aware that White's test in the MODEL procedure is different than White's test in the REG procedure requested by the SPEC option. The SPEC option produces the test from Theorem 2 on page 823 of White (1980). The WHITE option, on the other hand, produces the statistic from Corollary 1 on page 825 of White (1980). However, when I run these two tests, I get completely different results. One accepts the null hypothesis of homoscedasticity as the other is rejecting. Is there a way to settle the score? Or, alternatively, is one test better than the other under some special circumstances? I have a panel data set with 100 crosssections and 35 time series. I would like to estimate a linear model in this panel data setup. I want to test for heteroscedasticty and the presence of autocorrelation before making any attempts to correct for them. The first thing I do is to consider 35 different crosssections, and test the null hypothesis of homoscedasticity using the SPEC option in Proc Reg, or the White option in proc model. These two tests give quite different results...and I can't proceed any further before resolving this matter and figuring out what to do... I am looking forward to your suggestions. Thanks in advance. Atakan
Gang: Can I use PROC REG to mimic the results of PROC AUTOREG using an NLAG of 1 (effectively an AR(1) autoregressive model)? If so, could someone please give me a few hints? :-) I attempted to do the following, but not really sure if it is correct: 1. Use PROC REG to gather residuals generated from the model VALUE=DATE 2. Using the RESIDUALS, create a lag1 variable RESPREV from RESIDUALS. 3. Run the model RESIDUALS=RESPREV through PROC REG using the NOINT option. I thought the above would be correct based on the description of the autoregressive error model described in the PROC AUTOREG section of the manual. The results I get are close to PROC AUTOREG, but not exactly. The first PROC REG (step 1) produces the OLS output just like PROC AUTOREG and matches exactly (of course, because that's what it is). The second PROC REG (step 3) produces a beta-weight that is close to the value of the coefficient of v(t-1), but not exactly. Thanks in advance for your help!!! Scott
Hi, What is the difference between a proc reg and proc lifereg procedure. If possible i need an explanation to be not too technical. Thanks, Sa