SN-005098 ***Alert Note***
Lag 0 seasonal Dickey-Fuller test statistics and p-values incorrect
Product: SAS/ETS
Component: ARIMA procedure
Priority: ALERT
In PROC ARIMA, 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 can 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:
dickey fuller seasonal unit root lag ar 0 dlag incorrout incorrstat
arima stationarity rho tau t probability %dftest test
lag 0 seasonal dickey-fuller test statistics and p-values incorrect
005098 5098
SAS Note Revised On: Thu, 31 May 2001
System Version Reported Version Fixed
AIX/6000 7 TSP1
VM/ESA (CMS) 7 TSP1
Compaq Tru64 UNIX 7 TSP1
HP-UX Operating Systems 7 TSP1
OS/390 (MVS) 7 TSP1
IBM OS/2 7 TSP1
Solaris 7 TSP1
OpenVMS VAX 7 TSP1
OpenVMS Alpha 7 TSP1
Windows NT 7 TSP1
Windows 95 7 TSP1
Windows 98 7 TSP1
No Fixes Available
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