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Re: Newey- West procedure

Try the following:
fit st/gmm kernel=(bart,3,0)

This seemed to work on:
proc model data = sashelp.citiqtr;
   gdp = b0 + b1 * bpb;
   fit gdp /ols;
   parms b0, b1;
run;

proc model data = sashelp.citiqtr;
   gdp = b0 + b1 * bpb;
   fit gdp /gmm kernel=(bart,3,0);
   parms b0, b1;
run;
quit;

Note the correction to the standard errors using the Newey West correction.
1
BanCheah (22)
6/24/2003 1:43:45 PM
comp.soft-sys.sas 142828 articles. 3 followers. Post Follow

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