Chapter Contents |
Previous |
Next |

The PDLREG Procedure |

**MODEL***dependent = effects / options ;*

Every variable in the model must be a numeric variable in the input data set. Specify an independent effect with a variable name optionally followed by a polynomial lag distribution specification.

*variable ( length, degree, minimum-degree, constraint )*

The term in parentheses following the variable name specifies a polynomial distributed lag (PDL) for the variable. The PDL specification is as follows:

*length*- specifies the number of lags of the variable to include in the lag
distribution.
*degree*- specifies the maximum degree of the distribution polynomial.
If not specified, the degree defaults to the lag length.
*minimum-degree*- specifies the minimum degree of the polynomial.
By default
*minimum-degree*is the same as*degree*. *constraint*- specifies endpoint restrictions on the polynomial.
The value of
*constraint*can be FIRST, LAST, or BOTH. If a value is not specified, there are no endpoint restrictions.

If you do not specify the

**ALL**-
prints all the matrices computed during the analysis of the model.
**CORRB**-
prints the matrix of estimated
correlations between the parameter estimates.
**COVB**-
prints the matrix of estimated covariances between the parameter estimates.
**DW=***j*-
prints the generalized Durbin-Watson statistics up to the order of
*j*. The default is DW=1. When you specify the LAGDEP or LAGDEP=*name*option, the Durbin-Watson statistic is not printed unless you specify the DW= option. **DWPROB**-
prints the marginal probability of the Durbin-Watson statistic.
**CONVERGE=***value*-
sets the convergence criterion.
If the maximum absolute value of the change in the
autoregressive parameter estimates between iterations
is less than this amount, then convergence is assumed.
The default is CONVERGE=.001.
**I**-
prints (
**X**'**X**)^{-1}, the inverse of the crossproducts matrix for the model; or, if restrictions are specified, prints (**X**'**X**)^{-1}adjusted for the restrictions. **ITPRINT**-
prints information on each iteration.
**LAGDEP****LAGDV**-
prints the
*t*statistic for testing residual autocorrelation when regressors contain lagged dependent variables. **LAGDEP=***name***LAGDV=***name*-
prints the Durbin
*h*statistic for testing the presence of first-order autocorrelation when regressors contain the lagged dependent variable whose name is specified as LAGDEP=*name*. When the*h*statistic cannot be computed, the asymptotically equivalent*t*statistic is given. **MAXITER=***number*-
sets the maximum number of iterations allowed. The default is MAXITER=50.
**METHOD=***value*-
specifies the type of estimates for the autoregressive component.
The values of the METHOD= option are as follows:
- METHOD=ML
- specifies the maximum likelihood method
- METHOD=ULS
- specifies unconditional least squares
- METHOD=YW
- specifies the Yule-Walker method
- METHOD=ITYW
- specifies iterative Yule-Walker estimates

The default is METHOD=ML if you specified the LAGDEP or LAGDEP= option; otherwise, METHOD=YW is the default. **NLAG=***m***NLAG=***( number-list )*-
specifies the order of the autoregressive process or the subset of
autoregressive lags to be fit.
If you do not specify the NLAG= option,
PROC PDLREG does not fit an autoregressive model.
**NOINT**-
suppresses the intercept parameter from the model.
**NOPRINT**-
suppresses the printed output.
**PARTIAL**-
prints partial autocorrelations if the NLAG= option is specified.
**STB**-
prints standardized parameter estimates.
Sometimes known as a standard partial regression coefficient,
a
*standardized parameter estimate*is a parameter estimate multiplied by the standard deviation of the associated regressor and divided by the standard deviation of the regressed variable. **XPX**-
prints the crossproducts matrix,
**X'X**, used for the model.**X**refers to the transformed matrix of regressors for the regression.

Chapter Contents |
Previous |
Next |
Top |

Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.