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The AUTOREG Procedure
Overview
Getting Started
Regression with Autocorrelated Errors
Forecasting Autoregressive Error Models
Testing for Autocorrelation
Stepwise Autoregression
Testing for Heteroscedasticity
Heteroscedasticity and GARCH Models
Syntax
Functional Summary
PROC AUTOREG Statement
BY Statement
CLASS Statement
MODEL Statement
HETERO Statement
NLOPTIONS Statement
OUTPUT Statement
RESTRICT Statement
TEST Statement
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
Examples
Analysis of Real Output Series
Comparing Estimates and Models
Lack-of-Fit Study
Missing Values
Money Demand Model
Estimation of ARCH(2) Process
Estimation of GARCH-Type Models
Illustration of ODS Graphics
References
Details: AUTOREG Procedure
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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