PANEL Procedure

The TEST statement performs Wald, Lagrange multiplier, and likelihood ratio tests of linear hypotheses about the regression parameters in the preceding MODEL statement. Like RESTRICT statements, TEST statements before the first MODEL statement are automatically associated with the first MODEL statement, as are any TEST statements that follow it but precede subsequent MODEL statements. Each equation specifies a linear hypothesis to be tested. All hypotheses in one TEST statement are tested jointly. Variable names in the equations must correspond to regressors in the preceding MODEL statement, and each name represents the coefficient of the corresponding regressor. The keyword INTERCEPT refers to the coefficient of the intercept.

You can specify the following options in the TEST statement after a slash (/):

The Wald test is performed by default.

The following statements illustrate the use of the TEST statement:

proc panel;
   id csid tsid;
   model y = x1 x2 x3;
   test x1 = 0, x2 * .5 + 2 * x3 = 0;
   test_int: test intercept = 0, x3 = 0;
run;

The first test investigates the joint hypothesis that

and

Currently, only linear equality restrictions and tests are permitted in PROC PANEL. Tests and restriction expressions can be composed only of algebraic operations that involve the addition symbol (+), subtraction symbol (–), and multiplication symbol (*).

The TEST statement accepts labels that are produced in the printed output. A TEST statement can be labeled in two ways. It can be preceded by a label followed by a colon. Alternatively, the keyword TEST can be followed by a quoted string. If both are present, PROC PANEL uses the quoted string. If you do not supply a label, PROC PANEL automatically labels the test. If both a TEST and a RESTRICT statement are specified, the test is run with the restrictions applied.

If you are fitting a dynamic panel model, you can perform tests on lags of the dependent variable by referencing the name of the dependent variable followed by an underscore and the lag order. For example,

proc panel;
   model sales = price / dyndiff;
   test sales_1 = 0.5 / wald;
run;

For the Da Silva, Hausman-Taylor, Amemiya-MaCurdy, and dynamic panel methods, only the Wald test is available.