The %DFPVALUE macro has the following form:
The first argument, tau, specifies the value of the
Dickey-Fuller test statistic.
- %DFPVALUE (tau , nobs [ , options ] )
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.