MTEST Statement
 < label: > MTEST < equation < , ... , equation > >
< / options > ;
where each equation is a linear function
composed of coefficients and variable names.
The label is optional.
The MTEST statement is used to test hypotheses in
multivariate regression models where there are several
dependent variables fit to the same regressors.
If no equations or options are specified, the
MTEST statement tests the hypothesis that all
estimated parameters except the intercept are zero.
The hypotheses that can be tested with
the MTEST statement are of the form
where L is a linear function on the regressor side,
is a matrix of parameters, c is a
column vector of constants, j is a row vector of ones,
and M is a linear function on the dependent side.
The special case where the constants are zero is
See the section "Multivariate Tests" for more details.
Each linear function extends across either the
regressor variables or the dependent variables.
If the equation is across the dependent variables,
then the constant term, if specified, must be zero.
The equations for the regressor variables form the L
matrix and c vector in the preceding formula; the
equations for dependent variables form the M matrix.
If no equations for the dependent variables are given,
PROC REG uses an identity matrix for M, testing
the same hypothesis across all dependent variables.
If no equations for the regressor variables are
given, PROC REG forms a linear function corresponding to
a test that all the nonintercept parameters are zero.
As an example, consider the following statements:
model y1 y2 y3=x1 x2 x3;
mtest x1,x2;
mtest y1y2, y2 y3, x1;
mtest y1y2;
The first MTEST statement tests the hypothesis that the X1
and X2 parameters are zero for Y1, Y2 and Y3.
In addition, the second MTEST statement
tests the hypothesis that the X1 parameter
is the same for all three dependent variables.
For the same model, the third MTEST statement
tests the hypothesis that all parameters except the
intercept are the same for dependent variables Y1 and Y2.
You can specify the following options in the MTEST statement.
 CANPRINT

displays the canonical correlations for the hypothesis
combinations and the dependent variable combinations.
If you specify
mtest / canprint;
the canonical correlations between the regressors
and the dependent variables are displayed.
 DETAILS

displays the M matrix and various intermediate calculations.
 PRINT

displays the H and E matrices.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.