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.
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