| Date: | Sat, 30 Jan 2010 10:45:26 -0800 |
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| Reply-To: | Nguyen An Nguyen <nguyenannguyen@GMAIL.COM> |
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| Sender: | "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU> |
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| From: | Nguyen An Nguyen <nguyenannguyen@GMAIL.COM> |
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| Organization: | http://groups.google.com |
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| Subject: | replicate PROC AUTOREG using PROC REG |
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| Content-Type: | text/plain; charset=ISO-8859-1 |
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Hi,
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!
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