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Multiple Time Series Modeling Using the SAS VARMAX Procedure by Anders Milhoj

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Chapter 3: Regression Analysis with Autocorrelated Errors

Introduction

Correction of Standard Errors with PROC AUTOREG

Adjustment of Standard Deviations by the Newey-West Method

Cochrane-Orcutt Estimation Using PROC AUTOREG

Simultaneous Estimation Using PROC AUTOREG

Conclusion

Introduction

In this chapter, the example from Chapter 2 is continued, using PROC AUTOREG, which is specially designed for regression that uses time series data. The conclusion from the analysis in Chapter 2 remains, however, that the results rely on unrealistic assumptions. The very idea of forming a regression model that takes no account of the dynamics of the time series is wrong.

Correction of Standard Errors with PROC AUTOREG

Program 3.1 presents the code to redo the ...

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