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The AUTOREG Procedure

ODS Table Names

PROC AUTOREG assigns a name to each table it creates. You can use these names to reference the table when using the Output Delivery System (ODS) to select tables and create output data sets. These names are listed in the Table 8.2.

Table 8.2 ODS Tables Produced in PROC AUTOREG

ODS Table Name

Description

Option

ODS Tables Created by the MODEL Statement

FitSummary

Summary of regression

default

SummaryDepVarCen

Summary of regression (centered dependent var)

CENTER

SummaryNoIntercept

Summary of regression (no intercept)

NOINT

YWIterSSE

Yule-Walker iteration sum of squared error

METHOD=ITYW

PreMSE

Preliminary MSE

NLAG=

Dependent

Dependent variable

default

DependenceEquations

Linear dependence equation

 

ARCHTest

Q and LM tests for ARCH disturbances

ARCHTEST

ChowTest

Chow test and predictive Chow test

CHOW= PCHOW=

Godfrey

Godfrey’s serial correlation test

GODFREY<=>

PhilPerron

Phillips-Perron unit root test

STATIONARITY= (PHILIPS<=()>) (no regressor)

PhilOul

Phillips-Ouliaris cointegration test

STATIONARITY= (PHILIPS<=()>) (has regressor)

KPSS

Kwiatkowski, Phillips, Schmidt, and Shin test

STATIONARITY= (KPSS<=()>)

ResetTest

Ramsey’s RESET test

RESET

ARParameterEstimates

Estimates of autoregressive parameters

NLAG=

CorrGraph

estimates of autocorrelations

NLAG=

BackStep

Backward elimination of autoregressive terms

BACKSTEP

ExpAutocorr

Expected autocorrelations

NLAG=

IterHistory

Iteration history

ITPRINT

ParameterEstimates

Parameter estimates

default

ParameterEstimatesGivenAR

Parameter estimates assuming AR parameters are given

NLAG=, METHOD= ULS | ML

PartialAutoCorr

Partial autocorrelation

PARTIAL

CovB

Covariance of parameter estimates

COVB

CorrB

Correlation of parameter estimates

CORRB

CholeskyFactor

Cholesky root of gamma

ALL

Coefficients

Coefficients for first NLAG observations

COEF

GammaInverse

Gamma inverse

GINV

ConvergenceStatus

Convergence status table

default

MiscStat

Durbin or Durbin , Bera-Jarque normality test

LAGDEP=;

DWTest

Durbin-Watson statistics

DW=

ODS Tables Created by the RESTRICT Statement

Restrict

Restriction table

default

ODS Tables Created by the TEST Statement

FTest

test

default

WaldTest

Wald test

TYPE=WALD

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