Hello,
I have moved your question to the 'SAS Forecasting and Econometrics' board.
I would try to use PROC PANEL (SAS/ETS) or PROC CPANEL (SAS Econometrics in SAS VIYA).
Use one of these options in PROC PANEL :
Alternative Variances Options |
|
Corrects covariance for intracluster correlation |
|
Specifies a heteroscedasticity- and autocorrelation-consistent (HAC) covariance |
|
Specifies a heteroscedasticity-corrected covariance matrix estimator (HCCME) |
If you want to stick to PROC AUTOREG , PROC AUTOREG has something similar.
See this option :
COVEST=OP | HESSIAN | QML | HC0 | HC1 | HC2 | HC3 | HC4 | HAC <(…)> | NEWEYWEST <(…)>
on the MODEL statement !
Good luck,
Koen