What is the difference in the output of the unit root test between "Pr < Rho" and "Pr < Tau"? How should I interpret them?
See the documentation at https://go.documentation.sas.com/doc/en/pgmsascdc/9.4_3.5/etsug/etsug_macros_sect019.htm
It explains that there are two test statistics:
The doc also shows the asymptotic distributions of these test statistics under the null hypothesis.
Available on demand!
Missed SAS Innovate Las Vegas? Watch all the action for free! View the keynotes, general sessions and 22 breakouts on demand.
Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.
Find more tutorials on the SAS Users YouTube channel.