Dear allstat,
I was wondering if there is anyone out there who has had to build a time series model in SAS without PROC ARIMA, PROC FORECAST or PROC AUTOREG.
Typically, In regression analysis, if the error terms are not independent (autocorrelated), the efficiency of the ordinary least-square (OLS) parameter estimates is adversely affected and the standard error estimates are biased. This happens frequently with time series data.
Ordinary regression analysis assumes that the error variance is the same for all observations. When the error variance is not constant, the data are said to be heteroscedastic, and ordinary least-squares estimates are inefficient.
So, I haven't got those fancy procedures in place or SPLUS or SPSS. I'm thinking do this from first principles and then use PROC REG or something. Has anyone ever had to do this and if so what are the learnings from that experience? If someone could point me to somewhere on the net where there is an example this will be well appreciated.
Thank you for your help.
Kind regards,
Jabu
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Jabu Sithole PhD CStat
Statistics Manager-Group Pricing
BGL Group
Phone: 01733 374339
email: [log in to unmask]<blocked::mailto:[log in to unmask]>
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