| AUTO
The AUTO command estimates models with autoregressive errors or
moving average errors.
In general, the format is:
AUTO depvar indeps / options
The available options are:
| Option |
Description |
| DLAG |
Used with first-order models to indicate that the first independent variable is a
lagged Dependent variable. |
| DN |
Divide by N instead of N-K to get Variances. |
| DROP |
Drops first observation in estimation. |
| GS |
Uses a grid search to estimate rho. |
| MISS |
Maximum likelihood estimates are adjusted for any missing observations that were deleted with SKIPIF commands. |
| ML |
Maximum Likelihood Estimation |
| NOPITER |
Suppresses the printing of the iterations. |
| PAGAN |
Used with ORDER=1 or ORDER=2 to estimate the model using Pagan's
1974 procedure. |
| CONV= |
Sets a convergence criterion when the Cochrane-Orcutt by procedure is being used. |
| GAP= |
Used when the missing observations were included in the data. |
| ITER= |
Used when doing an iterative Cochrane-Orcutt procedure to control the number of iterations. |
| NMISS= |
Used with the GAP= option to indicate how many observations are missing from the data. |
| NUMARMA= |
Used with PAGAN option to specify the number of AR or MA coefficients to be estimated. |
| ORDER=n |
Used to estimate models with second or higher order autocorrelation. |
| ORDER=-n |
Model will be estimated using a moving-average error model instead of an autoregressive error model. DLAG, DROP, GAP, GS, MISS, ML, RESTRICT, RHO and SRHO may not be used. |
| RHO= |
Specifies rho desired by user. |
| SRHO= |
Specifies rho for second order. |
Other available options are:
ANOVA, DUMP, GF, LININV, LINLOG, LIST, LOGINV, LOGLIN, LOGLOG, MAX, NOCONSTANT, PCOR, PCOV, RESTRICT, RSTAT, BEG=, END=, COEF=, COV=, PREDICT=, RESID=, STDERR=
and TRATIO= as defined for OLS.
The available temporary variables on the AUTO command are:
$DF, $DW, $ERR, $K, $LLF, $N, $R2, $R2OP, $RAW, $RHO, $SIG2, $SSE,
$SSR, $SST, $ZDF, ZSSR, $ZSST. |