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Different outputs in different SAS versions in GARCH model under PROC AUTOREG

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Occasional Contributor
Posts: 5

Different outputs in different SAS versions in GARCH model under PROC AUTOREG

Following is my SAS program to build GARCH model using PROC AUTOREG:

proc autoreg data=DATASET;
model Y= X1 X2
/method=ml nlag=12 garch=(p=1,q=1) maxiter=500 dwprob;
run;

I ran this same program using same database in 2 different versions of SAS:

1) Base SAS

2) ETS SAS

Both are giving different GARCH estimates, although AUTOREG estimates are same. Please help why it is so and how to get same outputs?

SAS Employee
Posts: 416

Re: Different outputs in different SAS versions in GARCH model under PROC AUTOREG

Posted in reply to swapnilsoni

Hello -

@Haikuo responded to a similar (the same?) question here: https://communities.sas.com/t5/Forecasting-and-Econometrics/Difference-in-SAS-Enterprise-Guide-5-1-a...

Thanks,

Udo

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