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Calcite | Level 5

Calcite | Level 5

SAS Proc Autoreg

Posted 08-10-2017 02:45 PM (670 views)

When I use proc autoreg (AR1), should I do transformation to make all the dependent(Y) and independent variables(Xs) stationary? After I do the stationary transform, fit the model with autoregression, why i can not get any significant variables? How to solve these problems? Thank you for the help!

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Accepted Solutions

Opal | Level 21

Opal | Level 21

Re: SAS Proc Autoreg

Posted 08-10-2017 03:19 PM (714 views) | In reply to xiaoling

Residuals from the regression should be stationnary, not inputs.

PG

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2 REPLIES 2

Opal | Level 21

Opal | Level 21

Re: SAS Proc Autoreg

Posted 08-10-2017 03:19 PM (715 views) | In reply to xiaoling

Residuals from the regression should be stationnary, not inputs.

PG

Calcite | Level 5

Calcite | Level 5

Re: SAS Proc Autoreg

Posted 08-10-2017 04:28 PM (645 views) | In reply to PGStats

Even the dependent variable Y desn't need stationary transform for AR1?