Syntax
The %DFPVALUE macro has the following form:
- %DFPVALUE (tau , nobs [ , options ] )
The first argument, tau, specifies the value of the
Dickey-Fuller test statistic.
The second argument, nobs, specifies
the number of observations on which the test statistic is based.
The first two arguments are required.
The following options can be used with the %DFPVALUE macro.
Options must follow the required arguments and are separated by commas.
- DLAG= 1 | 2 | 4 | 12
-
specifies the lag period of the unit root to be tested.
DLAG=1 specifies a 1-period unit root test.
DLAG=2 specifies a test for a seasonal unit root with lag 2.
DLAG=4 specifies a test for a seasonal unit root with lag 4.
DLAG=12 specifies a test for a seasonal unit root with lag 12.
The default is DLAG=1.
- TREND= 0 | 1 | 2
-
specifies the degree of deterministic time trend included in the model.
TREND=0 specifies no trend and assumes the series has a zero mean.
TREND=1 includes an intercept term.
TREND=2 specifies both an intercept and a deterministic linear time trend term.
The default is TREND=1.
TREND=2 is not allowed with DLAG=2, 4, or 12.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.
