22637 - Hypotheses tested by the SPEC option in PROC REG

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Usage Note 22637: Hypotheses tested by the SPEC option in PROC REG

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The SPEC option tests a joint null hypothesis of the following:

the errors are homoscedastic
the errors are independent of the regressors
the model is correctly specified.

Failure of any of these conditions can lead to a statistically significant test statistic. Essentially, the statistic tests a joint hypothesis that the model's specification of the first and second moments of the dependent variable is correct. For details, see White (1980, bottom of pg. 820, Theorem 2).

Operating System and Release Information

Product Family	Product	System	SAS Release
			Reported	Fixed*
SAS System	SAS/STAT	All	n/a

* For software releases that are not yet generally available, the Fixed Release is the software release in which the problem is planned to be fixed.

Type:	Usage Note
Priority:	low
Topic:	Analytics ==> Regression SAS Reference ==> Procedures ==> REG

Date Modified:	2019-04-23 15:51:05
Date Created:	2002-12-16 10:56:38