topic What does nlag= in the autoreg procedure do? in SAS Forecasting and Econometrics

What does nlag= in the autoreg procedure do?

Tamino — Thu, 22 Sep 2022 13:44:09 GMT

Hi,

I am doing an interrupted time-series analysis and use the autoreg procedure. I have difficulties to understand what excatly the nlag= option does in this procedure as it changes my results minimally, but the follow-up graph practically not at all.

Would be great if someone could shortly explain the function of the nlag= option simple.

Thank you very much!

Here is my SAS coding:

proc autoreg data=mydata;
model measurements = preintervention intervention postintervention sin cos/ method=ml nlag=1 /*dw=5*/ dwprob 
covb;
output out=autoreg_out predicted=pred pm=trend lcl=pred_l ucl=pred_u residual=resid
        predictedm=predm lclm=predm_l uclm=predm_u residualm=residm;
run;

Re: What does nlag= in the autoreg procedure do?

sbxkoenk — Thu, 22 Sep 2022 16:05:24 GMT

Hello,

Is the documentation not clear enough?

This is what the doc says :

The AUTOREG Procedure
SAS/ETS® 15.2 User's Guide

https://go.documentation.sas.com/doc/en/etsug/15.2/etsug_autoreg_syntax05.htm

NLAG=number
NLAG=(number-list)

specifies the order of the autoregressive error process or the subset of autoregressive error lags to be fitted. Note that NLAG=3 is the same as NLAG=(1 2 3). If the NLAG= option is not specified, PROC AUTOREG does not fit an autoregressive model.

Thus, for nlag=3, you believe (and test) that the lags 1, 2 and 3 of the target variable (=dependent variable) are playing a role in modelling it.

Thanks,

Koen

Re: What does nlag= in the autoreg procedure do?

PGStats — Thu, 22 Sep 2022 19:40:10 GMT

Specifying option nlag=1 is loosely like requesting :

model measurements = measurements_1 preintervention intervention postintervention sin cos/ method=ml dwprob covb;

where measurements_1 is the measurement value from the preceeding observation. I.e. you model the measurements as depending not only on independent variables but also on the previous state of the system.