[求助]如何做在sas中作panel cointegration

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

如题。谁有例子可以分享一下。谢谢。

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Integration ration ATION ratio Panel SAS Panel

The 'panel' proc in SAS/ETS, PROC TSCSREG does not handle unbalanced panels.
So I don't recommend that. Instead, I would suggest that you model your
data using PROC VARMAX. Among other things, it *does* implement the Granger
Causality test, rather explicitly, using the CAUSAL statement. The next
iteration of SAS is supposed to have a new ETS proc for panel data, and that is
supposed to handle unbalanced panels, and do more with them. So that might be worth
looking into.

I think that you can specify your H matrix in the COINTEG statement of PROC
VARMAX. That should let you handle your panel data. But I'm just speculating
here, since I haven't sat down and figured it out. I suggest that you read
the SAS Online Documentation for PROC VARMAX and see all the things it can do
for you.

HTH,
David
--
David L. Cassell
mathematical statistician
Design Pathways
3115 NW Norwood Pl.
Corvallis OR 97330

thanks.I'll give it a shot.