The AUTOREG statement specifies an autoregressive component in the model. An autoregressive component is a special case of cycle that corresponds to the frequency of zero or . It is modeled separately for easier interpretation. A stochastic equation for an autoregressive component can be written as follows:
The damping factor can take any value in the interval (–1, 1), including –1 but excluding 1. If , the autoregressive component cannot be distinguished from the random walk level component. If , the autoregressive component corresponds to a seasonal component with a season length of 2, or a nonstationary cycle with period 2. If , then the autoregressive component is stationary. The following example illustrates the AUTOREG statement. This statement includes an autoregressive component in the model. The damping factor and the disturbance variance are estimated from the data.
autoreg;