SAS Institute Alert Note SN-005098

From: SAS Technical Support (LISTSERV@VM.SAS.COM)
Date: Tue Jun 26 2001 - 13:32:48 EDT

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    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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