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What’s New in SAS/ETS

AUTOREG Procedure

Two new features have been added to the AUTOREG procedure.

  • An alternative test for stationarity, proposed by Kwiatkowski, Phillips, Schmidt, and Shin (KPSS), is implemented. The null hypothesis for this test is a stationary time series, which is a natural choice for many applications. Bartlett and quadratic spectral kernels for estimating long-run variance can be used. Automatic bandwidth selection is an option.

  • Corrected Akaike information criterion (AICC) is implemented. This modification of AIC corrects for small-sample bias. Along with the corrected Akaike information criterion, the mean absolute error (MAE) and mean absolute percentage error (MAPE) are now included in the summary statistics.

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