topic Re: AUTOREG procedure,autocorrelation, heteroscedasticity and time varying variance in Statistical Procedures https://communities.sas.com/t5/Statistical-Procedures/AUTOREG-procedure-autocorrelation-heteroscedasticity-and-time/m-p/189182#M9836 <HTML><HEAD></HEAD><BODY><P>Heteroscedicity means error term with variance keeps on changing and autoregression means the present value is closely related to past state much like Markov chain.I dont this two are related&nbsp; </P></BODY></HTML> Wed, 21 Jan 2015 17:54:11 GMT Asudipta 2015-01-21T17:54:11Z AUTOREG procedure,autocorrelation, heteroscedasticity and time varying variance https://communities.sas.com/t5/Statistical-Procedures/AUTOREG-procedure-autocorrelation-heteroscedasticity-and-time/m-p/189181#M9835 <HTML><HEAD></HEAD><BODY><P>I was just going through the article on the AUTOREG procedure and it mentions that auto regression&nbsp; and heteroscedasticity as similar .</P><P>If it is similar then how is it also defined as time varying variance.</P></BODY></HTML> Mon, 19 Jan 2015 16:18:47 GMT https://communities.sas.com/t5/Statistical-Procedures/AUTOREG-procedure-autocorrelation-heteroscedasticity-and-time/m-p/189181#M9835 Asudipta 2015-01-19T16:18:47Z Re: AUTOREG procedure,autocorrelation, heteroscedasticity and time varying variance https://communities.sas.com/t5/Statistical-Procedures/AUTOREG-procedure-autocorrelation-heteroscedasticity-and-time/m-p/189182#M9836 <HTML><HEAD></HEAD><BODY><P>Heteroscedicity means error term with variance keeps on changing and autoregression means the present value is closely related to past state much like Markov chain.I dont this two are related&nbsp; </P></BODY></HTML> Wed, 21 Jan 2015 17:54:11 GMT https://communities.sas.com/t5/Statistical-Procedures/AUTOREG-procedure-autocorrelation-heteroscedasticity-and-time/m-p/189182#M9836 Asudipta 2015-01-21T17:54:11Z