10-22-2015 10:27 AM
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?
10-22-2015 06:05 PM
@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...