Programming the statistical procedures from SAS

AUTOREG procedure,autocorrelation, heteroscedasticity and time varying variance

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AUTOREG procedure,autocorrelation, heteroscedasticity and time varying variance

I was just going through the article on the AUTOREG procedure and it mentions that auto regression  and heteroscedasticity as similar .

If it is similar then how is it also defined as time varying variance.

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Posts: 23

Re: AUTOREG procedure,autocorrelation, heteroscedasticity and time varying variance

Heteroscedicity means error term with variance keeps on changing and autoregression means the present value is closely related to past state much like Markov chain.I dont this two are related 

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