I have developed a model using regression analysis with autoregressive errors, using the maximum likelihood method.
I am able to figure out the model equation but when i try to put everything in an equation I get different results.
Parameter Estimates | |||||
Variable | DF | Estimate | Standard | t Value | Approx |
Error | Pr > |t| | ||||
Intercept | 1 | 92.5242 | 6.2288 | 14.85 | <.0001 |
T | 1 | -1.2082 | 0.0741 | -16.3 | <.0001 |
DP | 1 | -0.6514 | 0.1051 | -6.2 | <.0001 |
T*DP | 1 | 0.0171 | 0.00111 | 15.37 | <.0001 |
DP*H | 1 | 0.8459 | 0.0431 | 19.61 | <.0001 |
H | 1 | -56.4553 | 3.705 | -15.24 | <.0001 |
AR1 | 1 | -0.989 | 0.001651 | -599.11 | <.0001 |
The MSE for this analysis is 16.03
The equation would be
y=92.5242-1.2T-0.65DP+0.017T*DP+0.84DP*H-56.45H+Vt
Vt=0.989V(t-1)+16.03
How do I calculate the V(t-1)? as it varies for each observation.
Please help.
Look at the documentation for the AUTOREG procedure at SAS/ETS(R) 9.3 User's Guide.
The recursive expression is given in the section "Predicting Future Series Realizations".
PG
I tried. but its not working.
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