I need to run Newey West t statistics in SAS 9.2. I already run regression, White's test, Breusch Godfrey test and Jarque-Bera normality test. Regression is simple. Number of observations = 522 Depended variable name: rtest 1 Independent variable name: rtest 2 Data are time series data.
I found somewhere that i should start with:
PROC model; PARMS B0 B1; rtest1=B0+B1*rtest2;
I do not understand this part:
FIT rtest1/GMM Kernel=(BART,1,0.605); RUN;
How to get numbers in parenthesis. What is meaning of those numbers?
What does command
FIT do to data?
Do I need to add more commands?