Lag Coefficient Standard t Value Error -0.975229 0.006566 -148.53 1 Final model: Parameter Estimates Variable DF Estimate Standard t Approx Error Pr > |t| Intercept 1 -412.1128 35.2646 -11.69 <.0001 Date 1 0.0239 0.001886 12.68 <.0001 In PROC AUTOREG model is Zt+Zt-1=et rather than ZtZt-1=et so with = 0.975229, error term Zt satisfies Zt0.97Zt-1=et. Example 5-B: ARIMA Harley-Davidson closing stock prices 01/01/2009through 05/13/ 2013. (vs. AUTOREG)
Lag Coefficient Standard Error t Value 1 -0.975229 0.006566 -148.53 Final model: Parameter Estimates Variable DF Estimate Standard Error t Approx Pr > |t| Intercept 1 -412.1128 35.2646 -11.69 <.0001 Date 1 0.0239 0.001886 12.68 <.0001 In PROC AUTOREG model is Zt+Zt-1=et rather than ZtZt-1=et so with = 0.975229, error term Zt satisfies Zt0.97Zt-1=et. Example 5-B: ARIMA Harley-Davidson closing stock prices 01/01/2009through 05/13/ 2013. (vs. AUTOREG)
Dickey_Advenures%20in%20Forecasting%20Short%20Course.docx