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The AUTOREG Procedure |

**OUTPUT OUT=***SAS-data-set keyword = options ...;*

**OUT=***SAS-data-set*-
names the output SAS data set containing the predicted and
transformed values.
If the OUT= option is not specified,
the new data set is named according to the DATA
*n*convention. **ALPHACLI=***number*-
sets the confidence limit size for the estimates of future values of the
response time series. The ALPHACLI= value must be between 0 and 1.
The resulting confidence interval has 1-
*number*confidence. The default is ALPHACLI=.05, corresponding to a 95% confidence interval. **ALPHACLM=***number*-
sets the confidence limit size for the estimates of the structural or
regression part of the model. The ALPHACLI= value must be between 0 and 1.
The resulting confidence
interval has 1-
*number*confidence. The default is ALPHACLM=.05, corresponding to a 95% confidence interval. **ALPHACSM= .01 | .05 | .10**-
The ALPHACSM= option specifies the significance level for
the upper and lower bounds of the CUSUM and CUSUMSQ statistics
output by the CUSUMLB=, CUSUMUB=, CUSUMSQLB=, and CUSUMSQUB= options.
The significance level specified by the ALPHACSM= option
can be .01, .05, or .10. Other values are not supported.

The following options are of the form*KEYWORD*=*name*, where*KEYWORD*specifies the statistic to include in the output data set and*name*gives the name of the variable in the OUT= data set containing the statistic. **BLUS=***variable*-
The BLUS= option specifies the name of a variable to contain the
values of the Theil's BLUS residuals.
Refer to Theil (1971) for more information on BLUS residuals.
**CEV=***variable***HT=***variable*-
The CEV= option writes to the output data set the value of the
error variance
from the heteroscedasticity model specified by the HETERO
statement or the value of the conditional error variance
*h*_{t}by the GARCH= option in the MODEL statement. **CPEV=***variable*-
writes the conditional prediction error variance to the output data set.
The value of conditional
prediction error variance is equal to that of the conditional
error variance when there are no autoregressive parameters. For the
exponential GARCH model, conditional prediction error variance
cannot be calculated. See "Predicted Values" later in this chapter
for details.
**CONSTANT=***variable*-
writes the transformed intercept
to the output data set.
The details of the transformation are described in
"Computational Methods" later in this chapter.
**CUSUM=***variable*-
The CUSUM= option specifies the name of a variable to contain
the CUSUM statistics.
**CUSUMSQ=***variable*-
The CUSUMSQ= option specifies the name of a variable to contain
the CUSUMSQ statistics.
**CUSUMUB=***variable*-
The CUSUMUB= option specifies the name of a variable to contain
the upper confidence bound for the CUSUM statistic.
**CUSUMLB=***variable*-
The CUSUMLB= option specifies the name of a variable to contain
the lower confidence bound for the CUSUM statistic.
**CUSUMSQUB=***variable*-
The CUSUMSQUB= option specifies the name of a variable to contain
the upper confidence bound for the CUSUMSQ statistic.
**CUSUMSQLB=***variable*-
The CUSUMSQLB= option specifies the name of a variable to contain
the lower confidence bound for the CUSUMSQ statistic.
**LCL=***name*-
writes the lower confidence limit for the predicted value
(specified in the PREDICTED= option) to the output
data set. The size of the confidence
interval is set by the ALPHACLI= option. When a GARCH model
is estimated, the lower confidence limit is calculated assuming that
the disturbances have homoscedastic conditional variance.
See "Predicted Values" later in this chapter for details.
**LCLM=***name*-
writes the lower confidence limit for the structural
predicted value (specified in the PREDICTEDM= option)
to the output data set under the name given. The size of the confidence
interval is set by the ALPHACLM= option.
**PREDICTED=***name***P=***name*-
writes the predicted values to the output data
set. These values are formed from both
the structural and autoregressive parts of the model. See
"Predicted Values" later in this chapter for details.
**PREDICTEDM=***name***PM=***name*-
writes the structural predicted values to the output
data set. These values are formed from only the
structural part of the model. See
"Predicted Values" later in this chapter
for details.
**RECPEV=***variable*-
The RECPEV= option specifies the name of a variable to contain
the part of the predictive error variance (
*v*_{t}) that is used to compute the recursive residuals. **RECRES=***variable*-
The RECRES= option specifies the name of a variable to
contain recursive residuals.
The recursive residuals are used to compute the CUSUM and CUSUMSQ statistics.
**RESIDUAL=***name***R=***name*-
writes the residuals from the predicted values based on both
the structural and time series parts of the model to the
output data set.
**RESIDUALM=***name***RM=***name*-
writes the residuals from the structural prediction to the
output data set.
**TRANSFORM=***variables*-
transforms the specified variables from the input data set
by the autoregressive model and writes the transformed variables
to the output data set. The details of the transformation are
described in "Computational Methods" later in this chapter.
If you need to reproduce the data
suitable for reestimation, you must also transform an intercept
variable. To do this, transform a variable that is all 1s or use the
CONSTANT= option.
**UCL=***name*-
writes the upper confidence limit for the predicted value
(specified in the PREDICTED= option) to the output
data set. The size of the confidence
interval is set by the ALPHACLI= option. When the GARCH model
is estimated, the upper confidence limit is calculated assuming that
the disturbances have homoscedastic conditional variance.
See "Predicted Values" later in this chapter for details.
**UCLM=***name*-
writes the upper confidence limit for the structural
predicted value (specified in the PREDICTEDM= option)
to the output data set. The size of the confidence
interval is set by the ALPHACLM= option.

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