SPSS® 12.0 Command Syntax Reference

144 Syntax Reference
AREG
Overview
AREG is available in the Trends option.
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.
†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
/METHOD=ML.
AREG estimates a regression model with AR(1) (first-order autoregressive) errors. (Models
whose errors follow a general ARIMA process can be estimated using the ARIMA procedure.)
AREG provides a choice among three estimation techniques.
For the Prais-Winsten and Cochrane-Orcutt estimation methods (keywords PW and CO),
you can obtain the rho values and statistics at each iteration, and regression statistics for the
ordinary least-square and final Prais-Winsten or Cochrane-Orcutt estimates. For the maximum-likelihood
method (keyword ML), you can obtain the adjusted sum of squares and Marquardt
constant at each iteration and, for the final parameter estimates, regression statistics,
correlation and covariance matrices, Akaike’s information criterion (AIC) (Akaike, 1974),
and Schwartz’s Bayesian criterion (SBC) (Schwartz, 1978).