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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 (2165 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 (2109 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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  • ‎01-19-2015 11:18 AM
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