SAS Note V6-FMS-G975

From: SAS Technical Support (LISTSERV@VM.SAS.COM)
Date: Fri Jun 15 2001 - 11:44:40 EDT

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    V6-FMS-G975 *** ALERT NOTE *** PRODUCT: ETS

    TITLE: Seasonal root test statistics and p-values incorrect

    KEYS: SEASONAL ROOT TEST STATISTICS VALUES INCORRECT DICKEY FULLER ARIMA UNIT
           LAG AUTOREGRESSIVE TSFS FMS SASKVM FORECASTING SYSTEM TIME SERIES MENU

        The Dickey-Fuller seasonal root test statistic and p-value shown
        in either the Prediction Error Tests window or the White Noise and
        Stationarity Tests window are incorrect for lag 0 (the top bar). The
        statistics and p-values for autoregressive lag 1 and higher incorrectly
        correspond to the zero mean case, as opposed to 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, to
        request the constant mean (trend=1) seasonal lag 12 Dickey-Fuller
        statistic and p-value for autoregressive lag 0, use the syntax:

           %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 request the constant mean seasonal lag
        12 statistics using the following syntax:

           %DFTEST(work.a, Y, dlag=12, ar=0, trend=1);

    +------REPORTED------+
    SYSTEM RELEASE LEVEL

    AIX/R 6.12 TS020
    DigitUnx 6.12 TS040
    HP800 6.12 TS020
    Mcintosh 6.12 TS040
    OS/2 6.12 TS020
    Solaris 6.12 TS020
    VMS/AXP 6.12 TS020
    Windows 6.12 TS020
    WIN/NT 6.12 TS020
    Win95 6.12 TS020

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