The AUTOREG Procedure
 ODS Table Names

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 8.2.

Table 8.2 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

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<=()>

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)

Augmented Dickey-Fuller unit root test

EngGran

Engle-Granger cointegration test

ERS

ERS unit root test

STATIONARITY= (ERS<=()>)

NgPerron

Ng-Perron Unit root tests

STATIONARITY= (NP=<()> )

KPSS

Kwiatkowski, Phillips, Schmidt, and Shin 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 or Durbin , Bera-Jarque normality test

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

test

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)

 Previous Page | Next Page | Top of Page