03-11-2015 04:51 PM
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;
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 )) ?