Syntax
The %DFTEST macro has the following form:
 %DFTEST (SASdataset , variable [ , options ] )
The first argument, SASdataset, 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= ( differencinglist )

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=( d_{1}, ..., d_{k} ) is specified,
the series analyzed is (1B^{d1}) ... (1B^{dk})Y_{t}, where Y_{t} is the variable specified,
and B is the backshift operator defined by BY_{t} = Y_{t1}.
 DLAG= 1  2  4  12

specifies the lag to be tested for a unit root.
The default is DLAG=1.
 OUT= SASdataset

writes residuals to an output data set.
 OUTSTAT= SASdataset

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.