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The AUTOREG Procedure

ODS Graphics

This section describes the use of ODS for creating graphics with the AUTOREG procedure.

To request these graphs, you must specify the ODS GRAPHICS statement. By default, only the residual, predicted versus actual, and autocorrelation of residuals plots are produced. If, in addition to the ODS GRAPHICS statement, you also specify the ALL option in either the PROC AUTOREG statement or MODEL statement, all plots are created. For HETERO, GARCH, and AR models studentized residuals are replaced by standardized residuals. For the autoregressive models, the conditional variance of the residuals is computed as described in the section Predicting Future Series Realizations. For the GA

RCH and HETERO models, residuals are assumed to have conditional variance invoked by the HT= option of the OUTPUT statement. For all these cases, the Cook’s plot is not produced.

ODS Graph Names

PROC AUTOREG assigns a name to each graph it creates using ODS. You can use these names to reference the graphs when using ODS. The names are listed in Table 8.3.

Table 8.3 ODS Graphics Produced by PROC AUTOREG

ODS Graph Name

Plot Description

Option

ACFPlot

Autocorrelation of residuals

ACF

FitPlot

Predicted versus actual plot

Default

CooksD

Cook’s plot

ALL (no NLAG=)

IACFPlot

Inverse autocorrelation of residuals

ALL

QQPlot

Q-Q plot of residuals

ALL

PACFPlot

Partial autocorrelation of residuals

ALL

ResidualHistogram

Histogram of the residuals

ALL

ResidualPlot

Residual plot

Default

StudentResidualPlot

Studentized residual plot

ALL (no NLAG=/HETERO=/GARCH=)

StandardResidualPlot

Standardized residual plot

ALL

WhiteNoiseLogProbPlot

Tests for white noise residuals

ALL

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