replicate PROC AUTOREG using PROC REG
in [SAS]
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From: Nguyen An Nguyen on 30 Jan 2010 13:45 Hi, I wonder if it is possible to replicate a PROC AUTOREG model by running multiple linear regressions (such as Proc Reg). The reason for doing this is that I need to manipulate data manually (such as weight/ reweight observations, adjust for outliers and create different regimes) that AUTOREG would not accommodate. My base-line model is essentially: Proc Autoreg data = a; model y = ylag1 x y dummy_z / garch(1,1); Any advice is much appreciated!
From: Murphy Choy on 31 Jan 2010 18:33 Hi, Please check the sugi papers for mnw or wuss where a autoreg macro was discussed. ------Original Message------ From: Nguyen An Nguyen Sender: SAS(r) Discussion To: SAS-L(a)LISTSERV.UGA.EDU ReplyTo: Nguyen An Nguyen Subject: replicate PROC AUTOREG using PROC REG Sent: Jan 31, 2010 2:45 AM Hi, I wonder if it is possible to replicate a PROC AUTOREG model by running multiple linear regressions (such as Proc Reg). The reason for doing this is that I need to manipulate data manually (such as weight/ reweight observations, adjust for outliers and create different regimes) that AUTOREG would not accommodate. My base-line model is essentially: Proc Autoreg data = a; model y = ylag1 x y dummy_z / garch(1,1); Any advice is much appreciated! Sent from my BlackBerry Wireless Handheld -- Regards, Murphy Choy Certified Advanced Programmer for SAS V9 Certified Basic Programmer for SAS V9
From: shiling99 on 31 Jan 2010 21:45
On Jan 30, 1:45 pm, Nguyen An Nguyen <nguyenanngu...(a)gmail.com> wrote: > Hi, > I wonder if it is possible to replicate a PROC AUTOREG model by > running multiple linear regressions (such as Proc Reg). The reason for > doing this is that I need to manipulate data manually (such as weight/ > reweight observations, adjust for outliers and create different > regimes) that AUTOREG would not accommodate. > My base-line model is essentially: > Proc Autoreg data = a; > model y = ylag1 x y dummy_z / garch(1,1); > > Any advice is much appreciated! I believe that you cannot bypass it. The garch model is done under likelihood estimation which is not available in REG. But It can be don in nlmixed and nlp. |