topic Re: Need help in determining the autoregressive model equation and predictions in SAS Programming

Need help in determining the autoregressive model equation and predictions

zircon60 — Wed, 02 Oct 2013 18:45:03 GMT

I have developed a model using regression analysis with autoregressive errors, using the maximum likelihood method.

I am able to figure out the model equation but when i try to put everything in an equation I get different results.

The MSE for this analysis is 16.03

The equation would be

y=92.5242-1.2T-0.65DP+0.017T*DP+0.84DP*H-56.45H+Vt

Vt=0.989V(t-1)+16.03

How do I calculate the V(t-1)? as it varies for each observation.

Please help.

PGStats — Wed, 02 Oct 2013 19:23:32 GMT

Look at the documentation for the AUTOREG procedure at SAS/ETS(R) 9.3 User's Guide.

The recursive expression is given in the section "Predicting Future Series Realizations".

zircon60 — Sun, 06 Oct 2013 22:03:36 GMT

I tried. but its not working.