Chapter 3: Regression Analysis with Autocorrelated Errors
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 ...