The %DFTEST macro has the following form:
The first argument, SAS-data-set, specifies the name of the
SAS data set containing the time series variable to be analyzed.
- %DFTEST (SAS-data-set , variable [ , options ] )
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.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.