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Asudipta
Calcite | Level 5 Asudipta
Calcite | Level 5

AUTOREG procedure,autocorrelation, heteroscedasticity and time varying variance

Posted 01-19-2015 11:18 AM (1775 views)

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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Asudipta
Calcite | Level 5 Asudipta
Calcite | Level 5

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

Posted 01-21-2015 12:54 PM (1719 views)  |   In reply to Asudipta

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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What is ANOVA?

ANOVA, or Analysis Of Variance, is used to compare the averages or means of two or more populations to better understand how they differ. Watch this tutorial for more.

Watch What is ANOVA? on YouTube

Find more tutorials on the SAS Users YouTube channel.

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  • ‎01-19-2015 11:18 AM
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