PROC AUTOREG Statement
The following options can be used in the PROC AUTOREG statement:
-
DATA=SAS-data-set
specifies the input SAS data set. If you do not specify this option, PROC AUTOREG uses the most recently created SAS data set.
-
OUTEST=SAS-data-set
writes the parameter estimates to an output data set. For information about the contents of this data set, see the section OUTEST= Data Set.
-
COVOUT
writes the covariance matrix for the parameter estimates to the OUTEST= data set. This option is valid only if you specify the OUTEST= option.
-
JACOBOUT
writes the gradient for each observation (that is, the Jacobian matrix) to the OUTEST= data set. This option is valid only if you specify the OUTEST= option.
-
PLOTS<(global-plot-options)> < = (specific-plot-options)>
requests that the AUTOREG procedure produce statistical graphics via the Output Delivery System, provided that the ODS GRAPHICS statement has been specified. For general information about ODS Graphics, see Chapter 21: Statistical Graphics Using ODS in SAS/STAT 14.3 User's Guide. The global-plot-options apply to all relevant plots generated by the AUTOREG procedure. The global-plot-options supported by the AUTOREG procedure follow.
Global Plot Options
- ONLY
suppresses the default plots. Only the plots specifically requested are produced.
- UNPACKPANEL | UNPACK
displays each graph separately. (By default, some graphs can appear together in a single panel.)
Specific Plot Options
- ALL
requests that all plots appropriate for the particular analysis be produced.
- ACF
produces the autocorrelation function plot.
- IACF
produces the inverse autocorrelation function plot of residuals.
- PACF
produces the partial autocorrelation function plot of residuals.
- FITPLOT
plots the predicted and actual values.
- COOKSD
produces the Cook’s D plot.
- QQ
Q-Q plot of residuals.
- RESIDUAL | RES
plots the residuals.
- STUDENTRESIDUAL
plots the studentized residuals. For the models with the NLAG= or GARCH= options in the MODEL statement or with the HETERO statement, this option is replaced by the STANDARDRESIDUAL option.
- STANDARDRESIDUAL
plots the standardized residuals.
- WHITENOISE
plots the white noise probabilities.
- RESIDUALHISTOGRAM | RESIDHISTOGRAM
plots the histogram of residuals.
- NONE
suppresses all plots.
In addition, any of the following MODEL statement options can be specified in the PROC AUTOREG statement, which is equivalent to specifying the option for every MODEL statement: ALL, ARCHTEST, BACKSTEP, CENTER, COEF, CONVERGE=, CORRB, COVB, DW=, DWPROB, GINV, ITER, ITPRINT, MAXITER=, METHOD=, NOINT, NOMISS, NOPRINT, and PARTIAL.