topic Time series stationarity in SAS Forecasting and Econometrics

Time series stationarity

Pelox — Mon, 01 May 2017 12:38:46 GMT

I have a time series with prices. There are 51 prices. And i need to check if it stationary or not ?And if not, i need to make it stationary.

So i think, i have to do a Dickey Fuller test.

So i tried this code

proc ARIMA data=prices;
identify var=price stationarity=(adf=(0)) nlag=51;
run;

Is it correct ?

And this is results :

So, where i have to look, if i want to see it's stationary or not ?

Cynthia_sas — Tue, 02 May 2017 16:57:40 GMT

Hi:

This Tech Support note on Frequently Asked For Statistics talks about the Dickey-Fuller test and how to get it, here: http://support.sas.com/kb/30/333.html
and here is a long explanation: http://support.sas.com/documentation/cdl/en/etsug/67525/HTML/default/viewer.htm#etsug_macros_sect019.htm

cynthia

(post modified to show Tech Support and documentation links only)