OPTIONS LS=72;
TITLE 'EXAMPLE 6. SERIALLY CORRELATED ERRORS: EXPENDITURE DATA';
DATA EXPEND;
INPUT T Y X;
CARDS;
 1      214.6           159.3
 2      217.7           161.2
 3      219.6           162.8
 4      227.2           164.6
 5      230.9           165.9
 6      233.3           167.9
 7      234.1           168.3
 8      232.3           169.7
 9      233.7           170.5
10      236.5           171.6
11      238.7           173.9
12      243.2           176.1
13      249.4           178.0
14      254.3           179.1
15      260.9           180.2
16      263.3           181.1
17      265.6           181.6
18      268.2           182.5
19      270.4           183.3
20      275.6           184.3
;
/* DURBIN-WATSON STATISTIC IN REGRESSION */
PROC REG DATA=EXPEND;
MODEL Y=X/R DW;
OUTPUT OUT=OUT1 PREDICTED=YPRED RESIDUAL=YRES;
PLOT Y*X;
PLOT RESIDUAL.*PREDICTED.;
PLOT RESIDUAL.*X;
RUN;

/* REGRESSION WITH AR(1) ERROR */
PROC AUTOREG DATA=EXPEND;
MODEL Y=X/NLAG=1;
OUTPUT OUT=OUT2 P=YPRED R=YRES;
RUN;

/* ACF OF RESIDUALS */
PROC ARIMA DATA=OUT2;
IDENTIFY VAR=YRES;
RUN;