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SAS Macros and Functions

Syntax

The %DFTEST macro has the following form:

%DFTEST (SAS-data-set , variable [ , options ] )
The first argument, SAS-data-set, specifies the name of the SAS data set containing the time series variable to be analyzed.

The second argument, variable, specifies the time series variable name to be analyzed.

The first two arguments are required. The following options can be used with the %DFTEST macro. Options must follow the required arguments and are separated by commas.

AR= n
specifies the order of autoregressive model fit after any differencing specified by the DIF= and DLAG= options. The default is AR=3.

DIF= ( differencing-list )
specifies the degrees of differencing to be applied to the series. The differencing list is a list of positive integers separated by commas and enclosed in parentheses. For example, DIF=(1,12) specifies that the series be differenced once at lag 1 and once at lag 12. For more details, see "IDENTIFY Statement" in Chapter 7, "The ARIMA Procedure."

If the option DIF=( d1, ..., dk ) is specified, the series analyzed is (1-Bd1) ... (1-Bdk)Yt, where Yt is the variable specified,

and B is the backshift operator defined by BYt = Yt-1.

DLAG= 1 | 2 | 4 | 12
specifies the lag to be tested for a unit root. The default is DLAG=1.

OUT= SAS-data-set
writes residuals to an output data set.

OUTSTAT= SAS-data-set
writes the test statistic, parameter estimates, and other statistics to an output data set.

TREND= 0 | 1 | 2
specifies the degree of deterministic time trend included in the model. TREND=0 includes no deterministic term and assumes the series has a zero mean. TREND=1 includes an intercept term. TREND=2 specifies an intercept and a linear time trend term. The default is TREND=1. TREND=2 is not allowed with DLAG=2, 4, or 12.

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