SAS Macros and Functions

DFPVALUE Macro

Subsections:

The %DFPVALUE macro computes the significance of the Dickey-Fuller test. The %DFPVALUE macro evaluates the p-value for the Dickey-Fuller test statistic ${\tau }$ for the test of H$_{0}$: "The time series has a unit root" versus H$_{a}$: "The time series is stationary" using tables published by Dickey (1976); Dickey, Hasza, and Fuller (1984).

The %DFPVALUE macro can compute p-values for tests of a simple unit root with lag 1 or for seasonal unit roots at lags 2, 4, or 12. The %DFPVALUE macro takes into account whether an intercept or deterministic time trend is assumed for the series.

The %DFPVALUE macro is used by the %DFTEST macro described later in this chapter.

Note that the %DFPVALUE macro has been superseded by the PROBDF function described later in this chapter. It remains for compatibility with past releases of SAS/ETS.

Syntax

The %DFPVALUE macro has the following form:

  • %DFPVALUE ( tau, nobs < , options > );

The first argument, tau, specifies the value of the Dickey-Fuller test statistic.

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 one-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.

Results

The computed p-value is returned in the macro variable &DFPVALUE. If the p-value is less than 0.01 or larger than 0.99, the macro variable &DFPVALUE is set to 0.01 or 0.99, respectively.

Minimum Observations

The minimum number of observations required by the %DFPVALUE macro depends on the value of the DLAG= option. The minimum observations are as follows:

DLAG=

Minimum Observations

1

9

2

6

4

4

12

12