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SAS/ETS 9.22 User's Guide 44

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SAS/Ets 9.22 User's Guide 44. Provides detailed reference material for using SAS/ETS software and guides you through the analysis and forecasting of features such as univariate and multivariate time series, cross-sectional time series, seasonal adjustments, multiequational nonlinear models, discrete choice models, limited dependent variable models, portfolio analysis, and generation of financial reports, with introductory and advanced examples for each procedure. You can also find complete information about two easy-to-use point-and-click applications: the Time Series Forecasting System, for automatic and interactive time series modeling and forecasting, and the Investment Analysis System, for time-value of money analysis of a variety of investments | 422 F Chapter 8 The AUTOREG Procedure Output 8.2.1 OLS Analysis of Residuals Grunfeld s Investment Models Fit with Autoregressive Errors The AUTOREG Procedure Dependent Variable Gross investment gei GE Ordinary Least Squares Estimates SSE 13216.5878 MSE 777.44634 SBC 195.614652 MAE 19.9433255 MAPE 23.2047973 Durbin-Watson 1.0721 DFE Root MSE AIC AICC HQC Regress R-Square Total R-Square 17 27.88272 192.627455 194.127455 193.210587 0.7053 0.7053 Parameter Estimates Variable Standard DF Estimate Error t Approx Value Pr t Variable Label Intercept gef gec 1 1 1 -9.9563 31.3742 0.0266 0.0156 0.1517 0.0257 -0.32 0.7548 1.71 0.1063 Lagged Value of GE shares 5.90 .0001 Lagged Capital Stock GE Estimates of Autocorrelations Lag Covariance Correlation -1 987654321 01234567 891 0 1 660.8 304.6 1.000000 0.460867 Preliminary MSE 520.5 Output 8.2.2 Regression Results Using Default Yule-Walker Method Estimates of Autoregressive Parameters Lag Coefficient Standard Error t Value 1 -0.460867 0.221867 -2.08 Example 8.2 Comparing Estimates and Models F 423 Output 8.2.2 continued Yule-Walker Estimates SSE 10238.2951 DFE 16 MSE 639.89344 Root MSE 25.29612 SBC 193.742396 AIC 189.759467 MAE 18.0715195 AICC 192.426133 MAPE 21.0772644 HQC 190.536976 Durbin-Watson 1.3321 Regress R-Square 0.5717 Total R-Square 0.7717 Parameter Estimates Standard Approx Variable DF Estimate Error t Value Pr t Variable Label Intercept 1 -18.2318 33.2511 -0.55 0.5911 gef 1 0.0332 0.0158 2.10 0.0523 Lagged Value of GE shares gec 1 0.1392 0.0383 3.63 0.0022 Lagged Capital Stock GE Output 8.2.3 Regression Results Using Unconditional Least Squares Method Estimates of Autoregressive Parameters Standard Lag Coefficient Error t Value 1 -0.460867 0.221867 -2.08 Algorithm converged. Unconditional Least Squares Estimates SSE 10220.8455 DFE 16 MSE 638.80284 Root MSE 25.27455 SBC 193.756692 AIC 189.773763 MAE 18.1317764 AICC 192.44043 MAPE 21.149176 HQC 190.551273 Durbin-Watson 1.3523 Regress R-Square 0.5511 Total R-Square .