SAS Institute Alert Note SN-005127

From: SAS Technical Support (LISTSERV@VM.SAS.COM)
Date: Fri Jun 15 2001 - 11:24:19 EDT

  • Next message: SAS Technical Support: "SAS Note V6-FMS-G975"

    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:

    +-------------------------------------------------------------------------
    + NOTE: To unsubscribe you can reply to this mail with:
    + "SIGNOFF tsnews-l"
    + as the only text in the body of the message (without the double quotes).
    + If you have any questions please send them to SUPPORT@SAS.COM
    +-------------------------------------------------------------------------



    This archive was generated by hypermail 2b29 : Fri Jun 15 2001 - 11:40:17 EDT