Multiple Time Series Modeling Using the SAS VARMAX Procedure

Contents

About This Book

About The Authors

Acknowledgment

Chapter 1: Introduction

Introduction

Ordinary Regression Models

Regression Models in Time Series Analysis

Time Series Models

Which Time Series Features to Model

Parameterized Models for Time Series

Chapter 2: Regression Analysis for Time Series Data

Introduction

The Data Series

Durbin-Watson Test Using PROC REG

Definition of the Durbin-Watson Test Statistic

Procedure Output

Cochrane-Orcutt Estimation

Conclusion

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