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The AUTOREG Procedure |

The AUTOREG procedure prints the following items:

- the name of the dependent variable
- the ordinary least-squares estimates
- estimates of autocorrelations, which include the estimates of the autocovariances, the autocorrelations, and (if there is sufficient space) a graph of the autocorrelation at each LAG
- if the PARTIAL option is specified, the partial autocorrelations
- the preliminary MSE, which results from solving the Yule-Walker equations. This is an estimate of the final MSE.
- the estimates of the autoregressive parameters (Coefficient),
their standard errors (Std Error),
and the ratio of estimate to standard error (
*t*Ratio). - the statistics of fit are printed for the final model.
These include
the error sum of squares (SSE),
the degrees of freedom for error (DFE),
the mean square error (MSE),
the root mean square error (Root MSE),
the Schwarz information criterion (SBC),
the Akaike information criterion (AIC),
the regression R
^{2}(Reg Rsq), and the total R^{2}(Total Rsq). For GARCH models, the following additional items are printed:- the value of the log likelihood function
- the number of observations that are used in estimation (OBS)
- the unconditional variance (UVAR)
- the normality test statistic and its
*p*-value

- the parameter estimates for the structural model (B Value),
a standard error estimate (Std Error), the ratio of estimate
to standard error (
*t*Ratio), and an approximation to the significance probability for the parameter being 0 (Approx Prob) - the regression parameter estimates, printed again assuming that the autoregressive parameter estimates are known to be correct. The Std Error and related statistics for the regression estimates will, in general, be different when the autoregressive parameters are assumed to be given.

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