Overview

SAS Macros and Functions

Overview

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 H₀: "The time series has a unit root" vs. H_a: "The time series is stationary" using tables published by Dickey (1976) and 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Note that the %DFPVALUE macro has been superceded by the PROBDF function described later in this chapter. It remains for compatibility with past releases of SAS/ETS.

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