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 8.6.

Table 8.6: 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
YWIterSSE	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<=()>
FitSummarySCBP	Fit summary of Bai and Perron’s multiple structural change models	BP=
BreakDatesSCBP	Break dates of Bai and Perron’s multiple structural change models	BP=
SupFSCBP	supF tests of Bai and Perron’s multiple structural change models	BP=
UDmaxFSCBP	UDmaxF test of Bai and Perron’s multiple structural change models	BP=
WDmaxFSCBP	WDmaxF tests of Bai and Perron’s multiple structural change models	BP=
SeqFSCBP	supF(l+1\|l) tests of Bai and Perron’s multiple structural change models	BP=
ParameterEstimatesSCBP	Parameter estimates of Bai and Perron’s multiple structural change models	BP=
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)
ADF	Augmented Dickey-Fuller unit root test	STATIONARITY= (ADF<=()>) (no regressor)
EngleGranger	Engle-Granger cointegration test	STATIONARITY= (ADF<=()>) (has regressor)
ERS	ERS unit root test	STATIONARITY= (ERS<=()>)
NgPerron	Ng-Perron Unit root tests	STATIONARITY= (NP=<()> )
KPSS	Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) test or Shin cointegration 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 $t$ or Durbin $h$ , Bera-Jarque normality test	LAGDEP=; $\mr {NORMAL}$
DWTest	Durbin-Watson statistics	DW=
ODS Tables Created by the RESTRICT Statement
Restrict	Restriction table	default
ODS Tables Created by the TEST Statement
FTest	$F$ 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)