Wald Test in SAS

Discussion in 'Economics' started by annaland, Sep 16, 2007.

  1. I'm using SAS (I know it's old software that no one uses, yadda yadda yadda :)) to do some research but am running into a few problems. I have one data set with two sets of variables for two separate regressions. One refers to A0, A1, Retpi1, Dummy1 and the other to B0, B1, Retpi and Dummy. I need to do a Wald Test, not for a global null but for a test of two coefficients in the two regressions to see if they are equal, i.e. if the parameters A1=B1. This is the code I'm using but I don't think it is correct. Any help is much appreciated. Thanks in advance!

    PROC MODEL data=go5; parms b0 b1 a0 a1;retpi1= A0 +A1*dummy1;
    fit retpi1/ gmm kernel=(bart,6,0); instruments dummy1 ; retpi= B0 + B1*dummy;
    fit retpi/ gmm kernel=(bart,6,0); instruments dummy; test b1=a1;RUN;