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The TIMESERIES Procedure

Time Series Differencing

After optionally transforming the series, the accumulated series can be simply or seasonally differenced by using the VAR and CROSSVAR statement DIF= and SDIF= options. For example, suppose is a monthly time series. The following examples of the DIF= and SDIF= options demonstrate how to simply and seasonally difference the time series.

   dif=(1) sdif=(1)

Additionally, assuming is strictly positive, the VAR and CROSSVAR statement TRANSFORM=, DIF=, and SDIF= options can be combined.

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