https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Augmented-Dickey-Fuller-test/m-p/927982#M4822 <P>See the documentation at&nbsp;<A href="https://go.documentation.sas.com/doc/en/pgmsascdc/9.4_3.5/etsug/etsug_macros_sect019.htm" target="_blank">https://go.documentation.sas.com/doc/en/pgmsascdc/9.4_3.5/etsug/etsug_macros_sect019.htm</A>&nbsp;</P> <P>It explains that there are two test statistics:</P> <UL> <LI><SPAN>the regression-coefficient-based test statistic. The test statistic is Rho and the test is called the Rho test.</SPAN></LI> <LI><SPAN>the studentized test statistic, which is called the Tau test.</SPAN></LI> </UL> <P><SPAN>The doc also shows the asymptotic distributions of these test statistics under the null hypothesis.</SPAN></P> Sat, 11 May 2024 10:13:56 GMT Rick_SAS 2024-05-11T10:13:56Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Augmented-Dickey-Fuller-test/m-p/927874#M4820 <P><SPAN>What is the difference in the output of the unit root test between "Pr &lt; Rho" and "Pr &lt; Tau"? How should I interpret them?</SPAN></P><P><span class="lia-inline-image-display-wrapper lia-image-align-inline" image-alt="kiki12_0-1715357590089.png" style="width: 400px;"><img src="https://communities.sas.com/t5/image/serverpage/image-id/96412i89F5584FF80E57F1/image-size/medium?v=v2&amp;px=400" role="button" title="kiki12_0-1715357590089.png" alt="kiki12_0-1715357590089.png" /></span></P><P>&nbsp;</P> Fri, 10 May 2024 16:13:20 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Augmented-Dickey-Fuller-test/m-p/927874#M4820 kiki12 2024-05-10T16:13:20Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Augmented-Dickey-Fuller-test/m-p/927981#M4821 Since it is about SAS/ETS, better post your question at Forecasting Forum:<BR /><A href="https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics" target="_blank">https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics</A><BR /><BR />And If I was right, "Pr &lt; Rho" is for parameter method, but "Pr &lt; Tau" is for non-parameter method. Sat, 11 May 2024 07:39:22 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Augmented-Dickey-Fuller-test/m-p/927981#M4821 Ksharp 2024-05-11T07:39:22Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Augmented-Dickey-Fuller-test/m-p/927982#M4822 <P>See the documentation at&nbsp;<A href="https://go.documentation.sas.com/doc/en/pgmsascdc/9.4_3.5/etsug/etsug_macros_sect019.htm" target="_blank">https://go.documentation.sas.com/doc/en/pgmsascdc/9.4_3.5/etsug/etsug_macros_sect019.htm</A>&nbsp;</P> <P>It explains that there are two test statistics:</P> <UL> <LI><SPAN>the regression-coefficient-based test statistic. The test statistic is Rho and the test is called the Rho test.</SPAN></LI> <LI><SPAN>the studentized test statistic, which is called the Tau test.</SPAN></LI> </UL> <P><SPAN>The doc also shows the asymptotic distributions of these test statistics under the null hypothesis.</SPAN></P> Sat, 11 May 2024 10:13:56 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Augmented-Dickey-Fuller-test/m-p/927982#M4822 Rick_SAS 2024-05-11T10:13:56Z