The AUTOREG Procedure

PROC AUTOREG uses the nonlinear optimization (NLO) subsystem to perform nonlinear optimization tasks when the GARCH= option is specified. If the GARCH= option is not specified, the NLOPTIONS statement is ignored. For a list of all the options of the NLOPTIONS statement, see Chapter 6, Nonlinear Optimization Methods.

For the TECHNIQUE= option in the NLOPTIONS statement, only the QUANEW and TRUREG methods are supported, corresponding to the OPTMETHOD=QN and TR in the MODEL statement, respectively.