I'm estimating a model with an autoregressive error by the Yule Walker method through the AUTOREG function but noticed that, by using this estimation method, SAS does not present the final parameters (rho of each autoregressive term) achieved for the autoregressive error as well as their standard errors.
What is the reason for SAS output not present this information?
Is there any way of getting these parameters by this estimation method?
I'm running the model below in SAS by the Yule Walker method, which only shows the coefficient for x in the final model and also is presented the preliminary parameters (starting point of the optimisation) for the autoregressive error:
proc autoreg data=inputdata; model y = x / nlag = (1 3); run;
I would like to obtain the final parameters of the errors which corrected the autocorrelation problem.