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The AUTOREG Procedure

Overview
Getting Started
Regression with Autocorrelated Errors Forecasting Autoregressive Error Models Testing for Autocorrelation Stepwise Autoregression Testing for Heteroscedasticity Heteroscedasticity and GARCH Models
Syntax
Functional Summary PROC AUTOREG Statement BY Statement CLASS Statement MODEL Statement HETERO Statement NLOPTIONS Statement OUTPUT Statement RESTRICT Statement TEST Statement
Details
Missing Values Autoregressive Error Model Alternative Autocorrelation Correction Methods GARCH Models Heteroscedasticity- and Autocorrelation-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
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

Subsections:

Missing Values
Autoregressive Error Model
Alternative Autocorrelation Correction Methods
GARCH Models
Heteroscedasticity- and Autocorrelation-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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