SPSS® 12.0 Command Syntax Reference

148 Syntax Reference
The available methods are:
PW Prais-Winsten method. This generalized least-squares approach is the default (see
Johnston, 1984).
CO Cochrane-Orcutt method. (See Johnston, 1984.)
ML Exact maximum-likelihood method. This method can be used when one of the independent
variables is the lagged dependent variable. It can also handle missing
data anywhere in the series (see Kohn & Ansley, 1986).
Example
AREG VARY WITH VARX
/METHOD=CO.
In this example, the Cochrane-Orcutt method is used to estimate the regression model.
CONSTANT and NOCONSTANT Subcommands
RHO Subcommand
MXITER Subcommand
CONSTANT and NOCONSTANT indicate whether a constant term should be estimated in the regression
equation. The specification overrides the corresponding setting on the TSET command.
• CONSTANT indicates that a constant should be estimated. It is the default unless changed
by TSET NOCONSTANT prior to the current procedure.
• NOCONSTANT eliminates the constant term from the model.
RHO specifies the initial value of rho, an estimate of the first autoregressive parameter.
• If RHO is not specified, the initial rho value defaults to 0 (equivalent to ordinary least
squares).
• The value specified on RHO can be any value greater than −1 and less than 1.
• Only one rho value can be specified per AREG command.
Example
AREG VAR01 WITH VAR02 VAR03
/METHOD=CO
/RHO=0.5.
• In this example, the Cochrane-Orcutt (CO) estimation method with an initial rho value of
0.5 is used.
MXITER specifies the maximum number of iterations of the estimation process.
• If MXITER is not specified, the maximum number of iterations defaults to 10.
• The specification on MXITER can be any positive integer.