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The AUTOREG Procedure

  • Overview
  • Getting Started Getting Started
    Regression with Autocorrelated Errors Forecasting Autoregressive Error Models Testing for Autocorrelation Stepwise Autoregression Testing for Heteroscedasticity Heteroscedasticity and GARCH Models
  • Syntax Procedure Syntax
    Functional Summary PROC AUTOREG Statement BY Statement CLASS Statement MODEL Statement HETERO Statement NLOPTIONS Statement OUTPUT Statement RESTRICT Statement TEST Statement
  • Details Procedure 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 Procedure 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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