The PDLREG Procedure

Getting Started: PDLREG Procedure

Use the MODEL statement to specify the regression model. The PDLREG procedure’s MODEL statement is written like MODEL statements in other SAS regression procedures, except that a regressor can be followed by a lag distribution specification enclosed in parentheses.

For example, the following MODEL statement regresses Y on X and Z and specifies a distributed lag for X:

   model y = x(4,2) z;

The notation X(4,2) specifies that the model includes X and 4 lags of X, with the coefficients of X and its lags constrained to follow a second-degree (quadratic) polynomial. Thus, the regression model specified by this MODEL statement is

\[  y_{t} = a + b_{0}x_{t} + b_{1}x_{t-1} + b_{2}x_{t-2} + b_{3}x_{t-3} + b_{4}x_{t-4} + c z_{t} + u_{t}  \]
\[  b_{i} = {\alpha }_{0} + {\alpha }_{1}f_{1}(i) + {\alpha }_{2}f_{2}(i)  \]

where ${f_{1}(i)}$ is a polynomial of degree 1 in i and ${f_{2}(i)}$ is a polynomial of degree 2 in i.

Lag distribution specifications are enclosed in parentheses and follow the name of the regressor variable. The general form of the lag distribution specification is

regressor-name ( length, degree, minimum-degree, end-constraint )



is the length of the lag distribution—that is, the number of lags of the regressor to use.


is the degree of the distribution polynomial.


is an optional minimum degree for the distribution polynomial.


is an optional endpoint restriction specification, which can have the value FIRST, LAST, or BOTH.

If the minimum-degree option is specified, the PDLREG procedure estimates models for all degrees between minimum-degree and degree.