The AUTOREG Procedure
- Overview
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Getting Started
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Syntax
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DetailsMissing ValuesAutoregressive Error ModelAlternative Autocorrelation Correction MethodsGARCH ModelsHeteroscedasticity- and Autocorrelation-Consistent Covariance Matrix EstimatorGoodness-of-Fit Measures and Information CriteriaTestingPredicted ValuesOUT= Data SetOUTEST= Data SetPrinted OutputODS Table NamesODS Graphics
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Examples
- References
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 8.6.
Table 8.6: ODS Tables Produced in PROC AUTOREG
|
ODS Table Name |
Description |
Option |
|---|---|---|
|
ODS Tables Created by the MODEL Statement |
||
|
ClassLevels |
Class Levels |
default |
|
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 |
Tests for ARCH disturbances based on OLS residuals |
ARCHTEST= |
|
ARCHTestAR |
Tests for ARCH disturbances based on residuals |
ARCHTEST= (with NLAG=) |
|
BDSTest |
BDS test for independence |
BDS<=()> |
|
RunsTest |
Runs test for independence |
RUNS<=()> |
|
TurningPointTest |
Turning point test for independence |
TP<=()> |
|
VNRRankTest |
Rank version of von Neumann ratio test for independence |
VNRRANK<=()> |
|
FitSummarySCBP |
Fit summary of Bai and Perron’s multiple structural change models |
BP= |
|
BreakDatesSCBP |
Break dates of Bai and Perron’s multiple structural change models |
BP= |
|
SupFSCBP |
supF tests of Bai and Perron’s multiple structural change models |
BP= |
|
UDmaxFSCBP |
UDmaxF test of Bai and Perron’s multiple structural change models |
BP= |
|
WDmaxFSCBP |
WDmaxF tests of Bai and Perron’s multiple structural change models |
BP= |
|
SeqFSCBP |
supF(l+1|l) tests of Bai and Perron’s multiple structural change models |
BP= |
|
ParameterEstimatesSCBP |
Parameter estimates of Bai and Perron’s multiple structural change models |
BP= |
|
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) |
|
ADF |
Augmented Dickey-Fuller unit root test |
STATIONARITY= (ADF<=()>) (no regressor) |
|
EngGran |
Engle-Granger cointegration test |
STATIONARITY= (ADF<=()>) (has regressor) |
|
ERS |
ERS unit root test |
STATIONARITY= (ERS<=()>) |
|
NgPerron |
Ng-Perron Unit root tests |
STATIONARITY= (NP=<()> ) |
|
KPSS |
Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) test or Shin cointegration 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 |
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 |
|
default, TYPE=ALL |
|
WaldTest |
Wald test |
TYPE=WALD|ALL |
|
LMTest |
LM test |
TYPE=LM|ALL (only supported with GARCH= option) |
|
LRTest |
LR test |
TYPE=LR|ALL (only supported with GARCH= option) |
