Need help in determining the autoregressive model equation and predictions

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Occasional Contributor
Posts: 6

Need help in determining the autoregressive model equation and predictions

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.

Parameter Estimates
VariableDFEstimateStandardt ValueApprox
ErrorPr > |t|
Intercept192.52426.228814.85<.0001
T1-1.20820.0741-16.3<.0001
DP1-0.65140.1051-6.2<.0001
T*DP10.01710.0011115.37<.0001
DP*H10.84590.043119.61<.0001
H1-56.45533.705-15.24<.0001
AR11-0.9890.001651-599.11<.0001

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.

Respected Advisor
Posts: 4,931

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

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".

PG

PG
Occasional Contributor
Posts: 6

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

I tried. but its not working.

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