Proc Import Datafile= /Home/Smithpc0/Sasuser.V94/Lagrange.Xlsx

proc import datafile="/home/smithpc0/sasuser.v94/lagrange.xlsx"

out=smithpc0

dbms=xlsx

replace;

run;

ods graphics off;

DATA work.smithpc0;

SET work.smithpc0;

LAGINT=LAG(INTRATE);

PROC AUTOREG;

TITLE "Corrected estimate of simplest Fisher equation -- note it does OLS first";

MODEL INTRATE = INFLATION /NLAG=1 dwprob;

RUN;

PROC AUTOREG;

TITLE "Demonstration of Lagrange Multiplier test when lagged dependent variable present";

MODEL INTRATE = INFLATION LAGINT /NLAG=1 dwprob GODFREY=1;

RUN;
Corrected estimate of simplest Fisher equation -- note it does OLS first

The AUTOREG Procedure

Corrected estimate of simplest Fisher equation -- note it does OLS first

The AUTOREG Procedure

NOTE: Pr<DW is the p-value for testing positive autocorrelation, and Pr>DW is the p-value for testing negative autocorrelation.

Corrected estimate of simplest Fisher equation -- note it does OLS first

The AUTOREG Procedure

NOTE: Pr<DW is the p-value for testing positive autocorrelation, and Pr>DW is the p-value for testing negative autocorrelation.

Demonstration of Lagrange Multiplier test when lagged dependent variable present

The AUTOREG Procedure

Demonstration of Lagrange Multiplier test when lagged dependent variable present

The AUTOREG Procedure

NOTE: Pr<DW is the p-value for testing positive autocorrelation, and Pr>DW is the p-value for testing negative autocorrelation.

Demonstration of Lagrange Multiplier test when lagged dependent variable present

The AUTOREG Procedure

NOTE: Pr<DW is the p-value for testing positive autocorrelation, and Pr>DW is the p-value for testing negative autocorrelation.