The statements and options used with the AUTOREG procedure are summarized in the following table.
Table 8.1: AUTOREG Functional Summary
Description |
Statement |
Option |
---|---|---|
Data Set Options |
||
Specify the input data set |
AUTOREG |
DATA= |
Write parameter estimates to an output data set |
AUTOREG |
OUTEST= |
Include covariances in the OUTEST= data set |
AUTOREG |
COVOUT |
Requests that the procedure produce graphics via the Output Delivery System |
AUTOREG |
PLOTS= |
Write predictions, residuals, and confidence limits to an output data set |
OUTPUT |
OUT= |
Declaring the Role of Variables |
||
Specify BY-group processing |
BY |
|
Specify classification variables |
CLASS |
|
Printing Control Options |
||
Request all printing options |
MODEL |
ALL |
Print transformed coefficients |
MODEL |
COEF |
Print correlation matrix of the estimates |
MODEL |
CORRB |
Print covariance matrix of the estimates |
MODEL |
COVB |
Print DW statistics up to order j |
MODEL |
DW=j |
Print marginal probability of the generalized Durbin-Watson test statistics for large sample sizes |
MODEL |
DWPROB |
Print the p-values for the Durbin-Watson test be computed using a linearized approximation of the design matrix |
MODEL |
LDW |
Print inverse of Toeplitz matrix |
MODEL |
GINV |
Print the Godfrey LM serial correlation test |
MODEL |
GODFREY= |
Print details at each iteration step |
MODEL |
ITPRINT |
Print the Durbin t statistic |
MODEL |
LAGDEP |
Print the Durbin h statistic |
MODEL |
LAGDEP= |
Print the log-likelihood value of the regression model |
MODEL |
LOGLIKL |
Print the Jarque-Bera normality test |
MODEL |
NORMAL |
Print the tests for the absence of ARCH effects |
MODEL |
ARCHTEST= |
Print BDS tests for independence |
MODEL |
BDS= |
Print rank version of von Neumann ratio test for independence |
MODEL |
VNRRANK= |
Print runs test for independence |
MODEL |
RUNS= |
Print the turning point test for independence |
MODEL |
TP= |
Print the Lagrange multiplier test |
HETERO |
TEST=LM |
Print Bai-Perron tests for multiple structural changes |
MODEL |
BP= |
Print the Chow test for structural change |
MODEL |
CHOW= |
Print the predictive Chow test for structural change |
MODEL |
PCHOW= |
Suppress printed output |
MODEL |
NOPRINT |
Print partial autocorrelations |
MODEL |
PARTIAL |
Print Ramsey’s RESET test |
MODEL |
RESET |
Print Phillips-Perron tests for stationarity or unit roots |
MODEL |
STATIONARITY=(PHILLIPS=) |
Print Augmented Dickey-Fuller tests for stationarity or unit roots |
MODEL |
STATIONARITY=(ADF=) |
Print ERS tests for stationarity or unit roots |
MODEL |
STATIONARITY=(ERS=) |
Print KPSS tests or Shin tests for stationarity or cointegration |
MODEL |
STATIONARITY=(KPSS=) |
Print Ng-Perron tests for stationarity or unit roots |
MODEL |
STATIONARITY=(NP=) |
Print tests of linear hypotheses |
TEST |
|
Specify the test statistics to use |
TEST |
TYPE= |
Print the uncentered regression |
MODEL |
URSQ |
Options to Control the Optimization Process |
||
Specify the optimization options |
NLOPTIONS |
|
Model Estimation Options |
||
Specify the order of autoregressive process |
MODEL |
NLAG= |
Center the dependent variable |
MODEL |
CENTER |
Suppress the intercept parameter |
MODEL |
NOINT |
Remove nonsignificant AR parameters |
MODEL |
BACKSTEP |
Specify significance level for BACKSTEP |
MODEL |
SLSTAY= |
Specify the convergence criterion |
MODEL |
CONVERGE= |
Specify the type of covariance matrix |
MODEL |
COVEST= |
Set the initial values of parameters used by the iterative optimization algorithm |
MODEL |
INITIAL= |
Specify iterative Yule-Walker method |
MODEL |
ITER |
Specify maximum number of iterations |
MODEL |
MAXITER= |
Specify the estimation method |
MODEL |
METHOD= |
Use only first sequence of nonmissing data |
MODEL |
NOMISS |
Specify the optimization technique |
MODEL |
OPTMETHOD= |
Imposes restrictions on the regression estimates |
RESTRICT |
|
Estimate and test heteroscedasticity models |
HETERO |
|
GARCH Related Options |
||
Specify order of GARCH process |
MODEL |
GARCH=(Q=,P=) |
Specify type of GARCH model |
MODEL |
GARCH=(,TYPE=) |
Specify various forms of the GARCH-M model |
MODEL |
GARCH=(,MEAN=) |
Suppress GARCH intercept parameter |
MODEL |
GARCH=(,NOINT) |
Specify the trust region method |
MODEL |
GARCH=(,TR) |
Estimate the GARCH model for the conditional t distribution |
MODEL |
GARCH=() DIST= |
Estimate the start-up values for the conditional variance equation |
MODEL |
GARCH=(,STARTUP=) |
Specify the functional form of the heteroscedasticity model |
HETERO |
LINK= |
Specify that the heteroscedasticity model does not include the unit term |
HETERO |
NOCONST |
Impose constraints on the estimated parameters in the heteroscedasticity model |
HETERO |
COEF= |
Impose constraints on the estimated standard deviation of the heteroscedasticity model |
HETERO |
STD= |
Output conditional error variance |
OUTPUT |
CEV= |
Output conditional prediction error variance |
OUTPUT |
CPEV= |
Specify the flexible conditional variance form of the GARCH model |
HETERO |
|
Output Control Options |
||
Specify confidence limit size |
OUTPUT |
ALPHACLI= |
Specify confidence limit size for structural predicted values |
OUTPUT |
ALPHACLM= |
Specify the significance level for the upper and lower bounds of the CUSUM and CUSUMSQ statistics |
OUTPUT |
ALPHACSM= |
Specify the name of a variable to contain the values of the Theil’s BLUS residuals |
OUTPUT |
BLUS= |
Output the value of the error variance |
OUTPUT |
CEV= |
Output transformed intercept variable |
OUTPUT |
CONSTANT= |
Specify the name of a variable to contain the CUSUM statistics |
OUTPUT |
CUSUM= |
Specify the name of a variable to contain the CUSUMSQ statistics |
OUTPUT |
CUSUMSQ= |
Specify the name of a variable to contain the upper confidence bound for the CUSUM statistic |
OUTPUT |
CUSUMUB= |
Specify the name of a variable to contain the lower confidence bound for the CUSUM statistic |
OUTPUT |
CUSUMLB= |
Specify the name of a variable to contain the upper confidence bound for the CUSUMSQ statistic |
OUTPUT |
CUSUMSQUB= |
Specify the name of a variable to contain the lower confidence bound for the CUSUMSQ statistic |
OUTPUT |
CUSUMSQLB= |
Output lower confidence limit |
OUTPUT |
LCL= |
Output lower confidence limit for structural predicted values |
OUTPUT |
LCLM= |
Output predicted values |
OUTPUT |
P= |
Output predicted values of structural part |
OUTPUT |
PM= |
Output residuals |
OUTPUT |
R= |
Output residuals from structural predictions |
OUTPUT |
RM= |
Specify the name of a variable to contain the part of the predictive error variance () |
OUTPUT |
RECPEV= |
Specify the name of a variable to contain recursive residuals |
OUTPUT |
RECRES= |
Output transformed variables |
OUTPUT |
TRANSFORM= |
Output upper confidence limit |
OUTPUT |
UCL= |
Output upper confidence limit for structural predicted values |
OUTPUT |
UCLM= |