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The AUTOREG Procedure
The AUTOREG Procedure
Overview: AUTOREG Procedure
Getting Started: AUTOREG Procedure
Regression with Autocorrelated Errors
Forecasting Autoregressive Error Models
Testing for Autocorrelation
Stepwise Autoregression
Testing for Heteroscedasticity
Heteroscedasticity and GARCH Models
Syntax: AUTOREG Procedure
Functional Summary
PROC AUTOREG Statement
BY Statement
CLASS Statement
MODEL Statement
HETERO Statement
NLOPTIONS Statement
RESTRICT Statement
TEST Statement
OUTPUT Statement
Details: AUTOREG Procedure
Missing Values
Autoregressive Error Model
Alternative Autocorrelation Correction Methods
GARCH Models
Goodness-of-fit Measures and Information Criteria
Testing
Predicted Values
OUT= Data Set
OUTEST= Data Set
Printed Output
ODS Table Names
ODS Graphics
Examples: AUTOREG Procedure
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
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