The AUTOREG Procedure
- Overview
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Getting Started
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Syntax
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Details
Missing Values Autoregressive Error Model Alternative Autocorrelation Correction Methods GARCH Models Heteroscedasticity Consistent Covariance Matrix Estimator Goodness-of-Fit Measures and Information Criteria Testing Predicted Values OUT= Data Set OUTEST= Data Set Printed Output ODS Table Names ODS Graphics
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Examples
- References
| PROC AUTOREG Statement |
The following options can be used in the PROC AUTOREG statement:
- DATA=SAS-data-set
specifies the input SAS data set. If the DATA= option is not specified, PROC AUTOREG uses the most recently created SAS data set.
- OUTEST=SAS-data-set
writes the parameter estimates to an output data set. See the section OUTEST= Data Set for information on the contents of these data set.
- COVOUT
writes the covariance matrix for the parameter estimates to the OUTEST= data set. This option is valid only if the OUTEST= option is specified.
- PLOTS<(global-plot-options)> < = (specific plot options)>
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requests that the AUTOREG procedure produce statistical graphics via the Output Delivery System, provided that the ODS GRAPHICS statement has been specified. For general information about ODS Graphics, see Chapter 21, Statistical Graphics Using ODS (SAS/STAT User's Guide). The global-plot-options apply to all relevant plots generated by the AUTOREG procedure. The global-plot-options supported by the AUTOREG procedure follow.
Global Plot Options
- ONLY
suppresses the default plots. Only the plots specifically requested are produced.
- UNPACKPANEL | UNPACK
breaks a graphic that is otherwise paneled into individual component plots.
Specific Plot Options
- ALL
requests that all plots appropriate for the particular analysis be produced.
- ACF
produces the autocorrelation function plot.
- IACF
produces the inverse autocorrelation function plot of residuals.
- PACF
produces the partial autocorrelation function plot of residuals.
- FITPLOT
plots the predicted and actual values.
- COOKSD
produces the Cook’s
plot. Q-Q plot of residuals.
- RESIDUAL | RES
plots the residuals.
- STUDENTRESIDUAL
plots the studentized residuals. For the models with the NLAG= or GARCH= options in the MODEL statement or with the HETERO statement, this option is replaced by the STANDARDRESIDUAL option.
- STANDARDRESIDUAL
plots the standardized residuals.
- WHITENOISE
plots the white noise probabilities.
- RESIDUALHISTOGRAM | RESIDHISTOGRAM
plots the histogram of residuals.
- NONE
suppresses all plots.
In addition, any of the following MODEL statement options can be specified in the PROC AUTOREG statement, which is equivalent to specifying the option for every MODEL statement: ALL, ARCHTEST, BACKSTEP, CENTER, COEF, CONVERGE=, CORRB, COVB, DW=, DWPROB, GINV, ITER, ITPRINT, MAXITER=, METHOD=, NOINT, NOMISS, NOPRINT, and PARTIAL.