Details

SAS Macros and Functions

Details

Minimum Observations

The minimum number of observations required by the %DFTEST macro depends on the value of the DLAG= option. Let s be the sum of the differencing orders specified by the DIF= option, let t be the value of the TREND= option, and let p be the value of the AR= option. The minimum number of observations required is as follows:

DLAG= Min. Obs.

1 1+p+s+max( 9, p+t+2 )

2 2+p+s+max( 6, p+t+2)

4 4+p+s+max( 4, p+t+2 )

12 12+p+s+max( 12, p+t+2 )

DLAG=	Min. Obs.
1	1+p+s+max( 9, p+t+2 )
2	2+p+s+max( 6, p+t+2)
4	4+p+s+max( 4, p+t+2 )
12	12+p+s+max( 12, p+t+2 )

Observations are not used if they have missing values for the series or for any lag or difference used in the autoregressive model.

Chapter Contents
Previous
Next
Top