topic PROC AUTOREG with HETERO and AUTOCORRELATION in Statistical Procedures https://communities.sas.com/t5/Statistical-Procedures/PROC-AUTOREG-with-HETERO-and-AUTOCORRELATION/m-p/44297#M1947 <HTML><HEAD></HEAD><BODY><P>Correcting for heteroskedasticity using the HETERO statement after the MODEL statement.&nbsp; My problem is I cannot figure a way to test for autorcorrelation in this model.&nbsp; Without the HETERO statement /dw will give the durbin-watson.&nbsp; My understanding is that the GARCH model is the only way to correct for both.</P></BODY></HTML> Thu, 02 Feb 2012 19:48:47 GMT GlenGold 2012-02-02T19:48:47Z PROC AUTOREG with HETERO and AUTOCORRELATION https://communities.sas.com/t5/Statistical-Procedures/PROC-AUTOREG-with-HETERO-and-AUTOCORRELATION/m-p/44297#M1947 <HTML><HEAD></HEAD><BODY><P>Correcting for heteroskedasticity using the HETERO statement after the MODEL statement.&nbsp; My problem is I cannot figure a way to test for autorcorrelation in this model.&nbsp; Without the HETERO statement /dw will give the durbin-watson.&nbsp; My understanding is that the GARCH model is the only way to correct for both.</P></BODY></HTML> Thu, 02 Feb 2012 19:48:47 GMT https://communities.sas.com/t5/Statistical-Procedures/PROC-AUTOREG-with-HETERO-and-AUTOCORRELATION/m-p/44297#M1947 GlenGold 2012-02-02T19:48:47Z Re: PROC AUTOREG with HETERO and AUTOCORRELATION https://communities.sas.com/t5/Statistical-Procedures/PROC-AUTOREG-with-HETERO-and-AUTOCORRELATION/m-p/44298#M1948 <HTML><HEAD></HEAD><BODY><P>Hello - not sure if this helps, but this statement from documention might be useful: "For heteroscedastic regression models without GARCH effects, the errors <IMG class="math gen" src="http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/images/etsug_autoreg0005.png" style="width: 10px; height: 10px; vertical-align: -2px;" /> are assumed to be uncorrelated — the heteroscedasticity models specified by the HETERO statement cannot be combined with an autoregressive model for the errors. Thus, when a HETERO statement is used, the NLAG= option cannot be specified unless the GARCH= option is also specified." (<A href="http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_autoreg_sect015.htm">http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_autoreg_sect015.htm</A>)</P><P>Thanks,</P><P>Udo</P></BODY></HTML> Thu, 02 Feb 2012 21:48:50 GMT https://communities.sas.com/t5/Statistical-Procedures/PROC-AUTOREG-with-HETERO-and-AUTOCORRELATION/m-p/44298#M1948 udo_sas 2012-02-02T21:48:50Z