Syntax
- PROBDF(x, n [ , d [ , type ]] )
-
Description
- x
- is the test statistic.
- n
- is the sample size.
The minimum value of n allowed depends on the
value specified for the second argument d.
For d in the set (1,2,4,6,12),
n must be an integer greater than or equal to
max(2d,5);
for other values of d the minimum value of n is 24.
- d
- is an optional integer giving the degree of the unit root tested for.
Specify d=1 for tests of a simple unit root (1-B).
Specify d equal to the seasonal cycle length for tests
for a seasonal unit root (1- Bd).
The default value of d is 1;
that is, a test for a simple unit root (1-B) is assumed if
d is not specified.
The maximum value of d allowed is 12.
- type
- is an optional character argument that specifies the type of test
statistic used.
The values of type are
- SZM
- studentized test statistic for the zero mean (no intercept) case
- RZM
- regression test statistic for the zero mean (no intercept) case
- SSM
- studentized test statistic for the single mean (intercept) case
- RSM
- regression test statistic for the single mean (intercept) case
- STR
- studentized test statistic for the
deterministic time trend case
- RTR
- regression test statistic for the
deterministic time trend case
The values STR and RTR are allowed only when d=1.
The default value of type is SZM.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.
