DATA blais;
INPUT company industry;  /* Company Sales=Y, Industry Sales=X */
cards;
  20.96  127.3
  21.40  130.0
  21.96  132.7
  21.52  129.4
  22.39  135.0
  22.76  137.1
  23.48  141.2
  23.66  142.8
  24.10  145.5
  24.01  145.3
  24.54  148.3
  24.30  146.4
  25.00  150.2
  25.64  153.1
  26.36  157.3
  26.98  160.7
  27.52  164.2
  27.78  165.6
  28.24  168.7
  28.78  171.7
;
run;

PROC SGPLOT data=blais;
SCATTER Y=company X=industry;
run;

/* testing for autocorrelation in the errors */

PROC REG data=blais;
MODEL company = industry / dwprob;
run;

/* Carrying out the Cochrane-Orcutt or Hildreth-Lu procedures is MUCH     */
/* more easily done in R, but if you want to do it, or something similar, */
/* in SAS, check out PROC AUTOREG.                                        */

PROC AUTOREG data=blais;
MODEL company = industry / NLAG = 1;
run;

/* PROC AUTOREG uses the Yule-Walker method, which is similar to the          */
/* Cochrane-Orcutt method, but uses the information in the first observation. */