Pseudo-IV GLS for time series

noetsi

No cake for spunky
Some call this two stage Aitkin. Its recommended to run dynamic regression when you have serial correlation and a lagged Y as a predictor. I have not been able to find out how to do it in SAS.

Stu

New Member
PROC MODEL may allow you to use this. With it, you can specify IVs, ARMA & vector ARMA terms (%AR() and %MA() macros), and fit the system using 2SLS. I'm not sure if it's the exact same thing as Pseudo-IV GLS, though.

For example:

Code:
   proc model data=test;
exogenous x1 x2;
parms a1 a2 b2 2.5 c2 55 d1;

y1 = a1 * y2 + b2 * x1 * x1 + d1;
y2 = a2 * y1 + b2 * x2 * x2 + c2 / x2 + d1;
%AR(y1, 1);

fit y1 y2 / 2sls;
instruments b2 c2 _exog_;
run;

noetsi

No cake for spunky
PROC model is something I have rarely used, but it does many things I need to learn. I have not found any references specifically to Pseudo-IV GLS and SAS combined so far. I am not sure 2sls is this or not.