The AUTOREG Procedure

ODS Graphics

Statistical procedures use ODS Graphics to create graphs as part of their output. ODS Graphics is described in detail in Chapter 21: Statistical Graphics Using ODS in SAS/STAT 12.3 User's Guide.

Before you create graphs, ODS Graphics must be enabled (for example, with the ODS GRAPHICS ON statement). For more information about enabling and disabling ODS Graphics, see the section Enabling and Disabling ODS Graphics in that chapter.

The overall appearance of graphs is controlled by ODS styles. Styles and other aspects of using ODS Graphics are discussed in the section A Primer on ODS Statistical Graphics in that chapter.

This section describes the use of ODS for creating graphics with the AUTOREG procedure.

To request these graphs, you must specify the ODS GRAPHICS statement. By default, only the residual, predicted versus actual, and autocorrelation of residuals plots are produced. If, in addition to the ODS GRAPHICS statement, you also specify the ALL option in either the PROC AUTOREG statement or MODEL statement, all plots are created. For HETERO, GARCH, and AR models studentized residuals are replaced by standardized residuals. For the autoregressive models, the conditional variance of the residuals is computed as described in the section Predicting Future Series Realizations. For the GARCH and HETERO models, residuals are assumed to have $h_ t$ conditional variance invoked by the HT= option of the OUTPUT statement. For all these cases, the Cook’s $D$ plot is not produced.

ODS Graph Names

PROC AUTOREG assigns a name to each graph it creates using ODS. You can use these names to reference the graphs when using ODS. The names are listed in Table 8.7.

Table 8.7: ODS Graphics Produced in PROC AUTOREG

ODS Table Name

Description

Plots= Option

DiagnosticsPanel

All applicable plots

 

ACFPlot

Autocorrelation of residuals

ACF

FitPlot

Predicted versus actual plot

FITPLOT, default

CooksD

Cook’s $D$ plot

COOKSD (no NLAG=)

IACFPlot

Inverse autocorrelation of residuals

IACF

QQPlot

Q-Q plot of residuals

QQ

PACFPlot

Partial autocorrelation of residuals

PACF

ResidualHistogram

Histogram of the residuals

RESIDUALHISTOGRAM or RESIDHISTOGRAM

ResidualPlot

Residual plot

RESIDUAL or RES, default

StudentResidualPlot

Studentized residual plot

STUDENTRESIDUAL (no NLAG=, GARCH=, or HETERO)

StandardResidualPlot

Standardized residual plot

STANDARDRESIDUAL

WhiteNoiseLogProbPlot

Tests for white noise residuals

WHITENOISE