Hi Udo, Thank you for the reply. I think I need to provide more information. I have monthly data on balances and monthly data for economic variables, like gdp, unemployment, etc. The code I am running is something like this: proc autoreg data=work.data; model balances = gdp unemployment / nlag=12 method=ml backstep dw dwprob archtest; output out=result p=fit r=resid ucl=ucl lcl=lcl; run; Now, say that gdp and unemployment are significant and that proc autoreg fits an AR(1) process for the error term. Now, when I plot fit and balances it looks like fit is "offset" by a period. What I mean is that if I plot fit against lag(balances) the two line up better and the differences are smaller. Balances has spikes and dips and the model fit reflects these spikes and dips but it does so on a lag. The residuals are stationary and normally distributed but the MAPE is relatively high. I can get MAPE to be lower if I get the differences between model fit and lag(balances), but I know that this is not right. So, my question is this, is this something that normally happens or am I probably misspecifying the model? All me test statistics pass (DW, Het-sked, normality, etc.). Do you have insight into this? Thank you, Manuel
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