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ubshams
Quartz | Level 8

When I use the uls method in proc autoreg to get an ar  term I get a nice ar coefficient and all the other independent variables get new coefficients. 

 

proc autoreg data=actuals2 plots; model value = variable1 variable2  /method=uls nlag=1 stationarity = (adf=3)dw=4 dwprob Godfrey=4 archtest; run; 

 

But when I use yw metod I don't get updated coefficients for the other idependent variables nor do I get an AR coefficient.  Why is that?

 

proc autoreg data=actuals2 plots; model value = variable1 variable2  /method=YW nlag=1 stationarity = (adf=3)dw=4 dwprob Godfrey=4 archtest; run; 

 

Thanks in advance.

 

 

1 ACCEPTED SOLUTION

Accepted Solutions
dw_sas
SAS Employee

Hi @ubshams , 

 

The default Yule-Walker method is a two-step estimator, where the AR coefficient(s) are estimated from the OLS residuals.  These coefficients are used to compute , which is then used in a subsequent GLS estimation to obtain the final Yule-Walker parameter estimates.  In the output generated by PROC AUTOREG when the METHOD=YW option is specified, you should see a table called "Estimates of Autoregressive Parameters".  This table is displayed at the end of the OLS estimation results and before the "Yule-Walker Estimates" table of fit statistics.  The updated coefficients for the independent variables in your model are in the final "Parameter Estimates" table near the end of the output.

 

For more information on the computational details for the YW method, please see the following section of the documentation:

 

https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_autoreg_details02.htm&docsetVers... 

 

I hope this helps!

DW

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1 REPLY 1
dw_sas
SAS Employee

Hi @ubshams , 

 

The default Yule-Walker method is a two-step estimator, where the AR coefficient(s) are estimated from the OLS residuals.  These coefficients are used to compute , which is then used in a subsequent GLS estimation to obtain the final Yule-Walker parameter estimates.  In the output generated by PROC AUTOREG when the METHOD=YW option is specified, you should see a table called "Estimates of Autoregressive Parameters".  This table is displayed at the end of the OLS estimation results and before the "Yule-Walker Estimates" table of fit statistics.  The updated coefficients for the independent variables in your model are in the final "Parameter Estimates" table near the end of the output.

 

For more information on the computational details for the YW method, please see the following section of the documentation:

 

https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_autoreg_details02.htm&docsetVers... 

 

I hope this helps!

DW

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