The DEPLAG statement is used to specify the lags of the dependent variable to be included as predictors in the model. The following examples illustrate the use of DEPLAG statement.
If the dependent series is denoted by , the following statement specifies the inclusion of in the model. The parameters and are estimated from the data.
deplag lags=2;
The following statement requests including in the model. The values of and are fixed at 0.8 and –1.2.
deplag lags=(1)(4) phi=0.8 -1.2 noest;
The dependent lag parameters are not constrained to lie in any particular region. In particular, this implies that a UCM that contains only an irregular component and dependent lags, resulting in a traditional autoregressive model, is not constrained to be a stationary model. In the DEPLAG statement, if an initial value is supplied for any one of the parameters, the initial values must also be supplied for all other parameters.