PROC AUTOREG with HETERO and AUTOCORRELATION

[GlenGold]

Correcting for heteroskedasticity using the HETERO statement after the MODEL statement.  My problem is I cannot figure a way to test for autorcorrelation in this model.  Without the HETERO statement /dw will give the durbin-watson.  My understanding is that the GARCH model is the only way to correct for both.

[udo_sas]

Hello - not sure if this helps, but this statement from documention might be useful: "For heteroscedastic regression models without GARCH effects, the errors are assumed to be uncorrelated — the heteroscedasticity models specified by the HETERO statement cannot be combined with an autoregressive model for the errors. Thus, when a HETERO statement is used, the NLAG= option cannot be specified unless the GARCH= option is also specified." (http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_autoreg_sect01...)

Thanks,

Udo