With ARIMA procedure, I can carry out Augmented Dickey-Fuller Unit Root Test. However, I do not understand 'rho' in test output and I can not find any related information in sas documents or statistical books/literatures.
I assume that 'rho' is coefficient on 1st lag and has range [-1,1]; and I assume that unit root test is to find out 'rho' equal to 1 or not. For instance, Y(t) = ...+'rho'Y(t-1)+... However, in my test results, I get 'rho' value as big as 50.
Would you please do me a favor and explain what 'rho' means here?
My e-mail is as follow: