Could anyone know how to interpret the results? It appears that it didn't show the relation I expect between SNMT and STD. By the way, when I used the OLS regression model, SNMT is significantly negatively related to STD and that's expected results I want. If you any thought, suggestion, or comment, please feel free to let me know. Thank you for your help in advance.
The model you are specifying in PROC AUTOREG fits a simple mean model (ie. intercept only) to your dependent variable STD. It also models the conditional error variance as a GARCH(1,1) model along with your SNMT variable as an input in the model for the variance. The COEF=NONNEG option in the HETERO statement you are specifying restricts the coefficient associated with SNMT to be non-negative.
Because you are getting unexpected results, you might want to verify this is the model you intend to fit. The following sections of the PROC AUTOREG documentation should help clarify the model that your current specification is fitting:
If you need additional information, please provide the full mathematical model you are trying to fit (both the equation for the mean and the equation for the variance). In the meantime, I hope this helps!
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