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 ${y_{t}}$ 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, when ${y_{t}}$ is strictly positive and the TRANSFORM=, DIF=, and SDIF= options are combined in the VAR and CROSSVAR statements, the transformation operation is performed before the differencing operations.