Previous Page
|
Next Page

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

BY Statement

BY variables;

A BY statement can be used with PROC AUTOREG to obtain separate analyses on observations in groups defined by the BY variables.

Previous Page
|
Next Page
|
Top of Page