04-21-2017 02:59 AM
This 'SAS Global Forum 2013' paper, https://support.sas.com/resources/papers/proceedings13/456-2013.pdf, claims that automatic lag selection for the Augmented Dickey-Fuller test (the number of lags of the dependent variable in the ADF regression to include as regressors) in Proc Autoreg is the default. I don't see this. More specifically, when I don't specify a particular lag value, the default seems to be a lag value of 0; that's what happens in the attached short program (running both SAS 9.3 & SAS 9.4).
For the 'ip' time series used in this program, automatic lag selection via the SIC/SBC yields a lag value of 4 (both allowing for a trend in the ADF regression and allowing only for a constant term). I'd like to know how to run an ADF test in Proc Autoreg to carry out such automatic lag selection, e.g., via SIC/SBC.
Thank you in advance for your help.