SN-005127 ***ALERT NOTE***
Seasonal root test statistics and p-values are incorrect in the Time
Series Forecasting System
SAS Note: SN-005127
Product: ETS
Component: FMS
Title:
Seasonal root test statistics and p-values are incorrect in the Time
Series Forecasting System
Text:
In the Time Series Forecasting System, the Dickey-Fuller seasonal root
test statistics and p-values shown in either the Prediction Error Tests
window or the White Noise and Stationarity Tests window are incorrect
for all lags. The statistic and p-value corresponding to lag 0 (the top
bar) are incorrect. The seasonal root test statistics and p-values for
autoregressive lag 1 and higher incorrectly correspond to the zero mean
case, rather than the desired constant mean case.
The correct statistics may be computed using the %DFTEST macro after
saving the appropriate data. For example, from the Prediction Error
Tests window, go to the Forecast Table and save the data set. Then use
the following syntax in the program editor to request the constant mean
(trend=1) seasonal lag 12 Dickey-Fuller statistic and p-value for
autoregressive lag 0:
%DFTEST(work.a, ERROR, dlag=12, ar=0, trend=1);
From the White Noise and Stationarity Tests window, go to the Data Table
window and save the data. Then, to request the constant mean seasonal
lag 12 statistics, use the following syntax:
%DFTEST(work.a, Y, dlag=12, ar=0, trend=1);
Keywords:
DICKEY FULLER SEASONAL UNIT ROOT LAG AR 0 AUTOREGRESSIVE MODEL DLAG
INCORROUT INCORRSTAT TIME SERIES FORECASTING SYSTEM TSFS FMS
STATIONARITY PROBABILITY %DFTEST ARIMA
System Version Reported
AIX-64bit 8.2 2M0
AIX/R 7 P1
AIX/R 8.2 2M0
CMS 7 P1
CMS 8.2 2M0
DigitUnx 7 P1
DigitUnx 8.2 2M0
HP800 7 P1
HP800 8.2 2M0
HPUX-64bit 8.2 2M0
IABI 8.2 2M0
Linux 8.2 2M0
MIPS ABI 8.2 2M0
MVS 7 P1
MVS 8.2 2M0
OS/2 7 P1
OS/2 8.2 2M0
Solaris 7 P1
Solaris 8.2 2M0
Solaris-64bit 8.2 2M0
VMS 7 P1
VMS 8.2 2M0
VMS/AXP 7 P1
VMS/AXP 8.2 2M0
WIN/NT 7 P1
WIN/NT 8.2 2M0
Win2000DCServer 8.2 2M0
Win2000Pro 8.2 2M0
Win2000Server 8.2 2M0
Win95 7 P1
Win95 8.2 2M0
Win98 7 P1
Win98 8.2 2M0
WinME 8.2 2M0
No Fixes Available:
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This archive was generated by hypermail 2b29 : Fri Jun 15 2001 - 11:40:17 EDT