Unfortunately I don't have proc autoreg and I am trying to fit a time series with proc reg.
In my model I am using lag of the dependent and some other x's.
The is no collinearity, dw=1.8 but I still feel that I need to improve the model because the RMSE in my validation is a bit high.
1) I want to add another lag of y, so I will have
y= B0 +B1lag1(y) + B2 lag2(y) +B3X1 +B4X2
What about the Problem of multicolinearity in this case? between lag1(y) and
lag2(y) ? should I be concerned about that? What should I look for in that case.
2) Also, I use durbin watson because in proc reg the godfrey test is not available, someone have a code that imitate the godfrey test? or can pinpoint another way to check autocorellation without proc autoreg because i don't have it in my package.
I know about VIF, I just wanted to know how to deal with the multicollinearity between two lag of y lag1 and lag2? What can I do to reduce the multicollinearity in this case, because the multicolinearity between 2 lags of Y will always be there. How to correct for it?