The HPPANEL Procedure (Experimental)

The TEST statement performs Wald, LaGrange multiplier, and likelihood ratio tests of linear hypotheses about the regression parameters in the MODEL statement. Each equation specifies a linear hypothesis to be tested. Currently, only linear equality restrictions and tests are permitted in PROC HPPANEL. Test expressions can be composed only of algebraic operations that involve the addition symbol (+), subtraction symbol (–), and multiplication symbol (*). 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. In the equality restrictions, you can use the keyword INTERCEPT to refer to the coefficient of the intercept.

You can specify the following options after the slash (/):

By default, the Wald test is performed.

The following statements illustrate the use of the TEST statement:

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

The first test investigates the joint hypothesis that

and