01-19-2015 11:18 AM
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.
01-21-2015 12:54 PM
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