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How to do the unit root test in ARIMAX?

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How to do the unit root test in ARIMAX?

I am using proc ARIMA to build a model. Here is the sample code:

---

proc arima data=test;

   identify var=dep  CROSSCORR=( var1 var2 var3)  noprint ;

estimate p=(1)(4) q=(8) input=( var1 var2 var3) method=ml maxiter = 500 plot;

run;

---

After running the code, I found everything is fine except the coefficient for AR1,1 is 0.98. So I have some doubt that it could have a unit root. I searched the internet but could not found the unit root test for ARIMAX(p,q). Could someone please give some help? Using stationarity=(ADF=(0 1 4 5 8 9 )) ?

Thanks,

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