I know how to do this in PROC ARIMA or Proc Varmax, but I can not find it in PROC AUTOREG.
Ideally I would like to run this procedure on data from residuals not generated by Proc Autoreg. That is I want to run PROC ESM, which does not have Box Ljung as far as I know, pull the residuals out of that and analyze them for serial correlation in Proc Autoreg [that process makes limited sense to me, but it is recommended for testing a method by an author I respect - assuming of course I understand what they recommended].
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