SAS/ETS 9.22 User's Guide 44

SAS/Ets 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 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 MSE SBC MAE MAPE Durbin-Watson DFE Root MSE AIC AICC HQC Regress R-Square Total R-Square 17 Parameter Estimates Variable Standard DF Estimate Error t Approx Value Pr t Variable Label Intercept gef gec 1 1 1 Lagged Value of GE shares .0001 Lagged Capital Stock GE Estimates of Autocorrelations Lag Covariance Correlation -1 987654321 01234567 891 0 1 Preliminary MSE Output Regression Results Using Default Yule-Walker Method Estimates of Autoregressive Parameters Lag Coefficient Standard Error t Value 1 Example Comparing Estimates and Models F 423 Output continued Yule-Walker Estimates SSE DFE 16 MSE Root MSE SBC AIC MAE AICC MAPE HQC Durbin-Watson Regress R-Square Total R-Square Parameter Estimates Standard Approx Variable DF Estimate Error t Value Pr t Variable Label Intercept 1 gef 1 Lagged Value of GE shares gec 1 Lagged Capital Stock GE Output Regression Results Using Unconditional Least Squares Method Estimates of Autoregressive Parameters Standard Lag Coefficient Error t Value 1 Algorithm converged. Unconditional Least Squares Estimates SSE DFE 16 MSE Root MSE SBC AIC MAE AICC MAPE HQC Durbin-Watson Regress R-Square Total R-Square .