AREG

AREG estimates a regression model with AR(1) (first-order autoregressive) errors.

AREG [VARIABLES=] dependent series name WITH independent series names
 
 [/METHOD={PW**}] 
          {CO  }
          {ML  }
 
 [/{†CONSTANT}]
   {NOCONSTANT}

 [/RHO={0**  }] 
       {value}
 
 [/MXITER={10**}] 
          {n   }
 
 [/APPLY [='model name'] [{SPECIFICATIONS}]] 
                          {INITIAL       }
                          {FIT           }

**Default if the subcommand is omitted.

†CONSTANT is the default if the subcommand or keyword is omitted and there is no corresponding specification on the TSET command.

Method definitions:

PW. Prais-Winsten (GLS) estimation

CO. Cochrane-Orcutt estimation

ML. Exact maximum-likelihood estimation

Example

AREG VARY WITH VARX.