V6-ARIMA-G976 ***Alert Note***
Lag 0 seasonal Dickey-Fuller test statistics and p-values are incorrect
Product: ETS
Component: ARIMA
Priority: ALERT
The Dickey-Fuller seasonal unit root test statistics and p-values
corresponding to the lag 0 autoregressive model are incorrect. These
statistics are computed when the STATIONARITY=(ADF=(DLAG=s)) option of
the IDENTIFY statement is specified, and when DLAG is set to at least
two.
To circumvent the problem, the %DFTEST macro may be used to compute
the correct t-statistics and p-values. For example, a seasonal unit
root test for monthly data (s=12) is computed using the following
syntax:
%dftest(work.a, y, ar=0, dlag=12, outstat=work.b)
Keywords:
seasonal dickey fuller test statistic value incorrect incorrstat lag
incorrout unit root ar stationarity rho tau probability dftest
G976
SAS Note Revised On: Tue, 12 Jun 2001
System Release Reported Release Fixed
AIX/6000 6.12 TS020
HP-UX Operating Systems 6.12 TS020
IBM OS/2 6.12 TS020
Solaris 6.12 TS020
OpenVMS Alpha 6.12 TS020
Windows 3.11 6.12 TS020
Windows NT 6.12 TS020
Windows 95 6.12 TS020
Compaq Tru64 Unix 6.12 TS040
Macintosh 6.12 TS040
No Fixes Available
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This archive was generated by hypermail 2b29 : Tue Jun 26 2001 - 13:54:32 EDT