05-01-2017 09:58 AM - edited 05-03-2017 04:20 PM
I have a time series with prices. And i need to check if it stationary or not ?And if not, i need to make it stationary.
So i think, i have to do a Dickey Fuller test.
So i tried this code
proc ARIMA data=prices; identify var=price stationarity=(adf=(0)) ; run;
Is it correct ?
05-02-2017 12:03 PM - edited 05-03-2017 04:20 PM
i see that's the same like:
It is stationary now, but some prices are negative.
05-03-2017 08:17 AM
If you want constraint price be positive , Try PROC ESM . Or "Forecasting Log Transformed Data" , check it in PROC ARIMA's documentation.
05-03-2017 08:58 AM
I have very small variables. It's gas prices.
So after difference i get for example some prices like -0.0568, -0.2654
I tried this
data new; set newprices; ylog = log( newprices ); run;
But after this i get :
i don't understand
05-03-2017 09:23 AM
Sorry . mislead you.
are supposed to get negative value like -0.0568, -0.2654.
if you put model on newprice ,you will get difference of price 's forecast,
therefore suggest you to use PROC ARIMA syntax, not calculated it by hand .