Overview

SAS Macros and Functions

Overview

The %LOGTEST macro tests whether a logarithmic transformation is appropriate for modeling and forecasting a time series. The logarithmic transformation is often used for time series that show exponential growth or variability proportional to the level of the series. The %LOGTEST macro fits an autoregressive model to a series and fits the same model to the log of the series. Both models are estimated by the maximum likelihood method, and the maximum log likelihood values for both autoregressive models are computed. These log likelihood values are then expressed in terms of the original data and compared.

You can control the order of the autoregressive models. You can also difference the series and the log transformed series before the autoregressive model is fit.

You can print the log likelihood values and related statistics (AIC, SBC, and MSE) for the autoregressive models for the series and the log transformed series. You can also output these statistics to a SAS data set.

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