SAS Note V6-ARIMA-G976

From: SAS Technical Support (LISTSERV@VM.SAS.COM)
Date: Tue Jun 26 2001 - 13:30:10 EDT

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    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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