Hi Umair,
To obtain HAC standard errors, t-values and p-values associated with the parameter estimates, you can add the COVEST=HAC option to the MODEL statement in your PROC AUTOREG step. For example:
model y = x / covest=hac;
Additional kernel and bandwidth options can be specified in parentheses after the COVEST=HAC option. For details, please see the documentation on the COVEST= option available at the following link:
https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_autoreg_syntax05.htm&docsetVersi...
More details are available in the "Heteroscedasticity-and Autocorrelation-Consistent Covariance Matrix Estimator" section of the PROC AUTOREG documentation at the following link:
https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_autoreg_details20.htm&docsetVers...
I hope this helps!
DW