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SAS Macros and Functions |

The %DFTEST macro performs the Dickey-Fuller unit root test. You can use the %DFTEST macro to decide if a time series is stationary and to determine the order of differencing required for the time series analysis of a nonstationary series.

Most time series analysis methods require that the series
to be analyzed is stationary.
However, many economic time series are nonstationary processes.
The usual approach to this problem is to difference the series.
A time series which can be made stationary by differencing is
said to have a *unit root*.
For more information, see the discussion of this issue in
the "Getting Started" section of Chapter 7, "The ARIMA Procedure,".

The Dickey-Fuller test is a method for testing whether a time series
has a unit root.
The %DFTEST macro tests the hypothesis
H_{0}: "The time series has a unit root" vs.
H_{a}: "The time series is stationary"
based on tables provided in Dickey (1976) and Dickey, Hasza and Fuller (1984).
The test can be applied for a simple unit root with lag 1,
or for seasonal unit roots at lag 2, 4, or 12.

Note that the %DFTEST macro has been superceded by the PROC ARIMA stationarity tests. See Chapter 7, "The ARIMA Procedure," for details.

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