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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This archive was generated by hypermail 2b29 : Fri Jun 15 2001 - 12:34:55 EDT