first order auto-correlation coefficient calculation in SAS
Posted: 13 September 2012 02:11 PM   [ Ignore ]
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firm total asset auto correlation estimate.

proc reg data = funda82;
  model at = /dw;
  by gvkey;
  ods output dwstatistic = auto_corr
(where=(label1=“1st Order Autocorrelation”)) ;
run;
quit;
proc print data = auto_corr noobs;
  var gvkey dependent label1 cvalue1;
run;

Reference:

http://www.ats.ucla.edu/stat/sas/faq/autocorrelation_1st_order_reg.htm

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