|Date: ||Sat, 30 Jan 2010 10:45:26 -0800|
|Reply-To: ||Nguyen An Nguyen <nguyenannguyen@GMAIL.COM>|
|Sender: ||"SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>|
|From: ||Nguyen An Nguyen <nguyenannguyen@GMAIL.COM>|
|Subject: ||replicate PROC AUTOREG using PROC REG|
|Content-Type: ||text/plain; charset=ISO-8859-1|
I wonder if it is possible to replicate a PROC AUTOREG model by
running multiple linear regressions (such as Proc Reg). The reason for
doing this is that I need to manipulate data manually (such as weight/
reweight observations, adjust for outliers and create different
regimes) that AUTOREG would not accommodate.
My base-line model is essentially:
Proc Autoreg data = a;
model y = ylag1 x y dummy_z / garch(1,1);
Any advice is much appreciated!