Sorry . mislead you.   newprice=price-lag1(price);   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 . ... View more

Hi: This Tech Support note on Frequently Asked For Statistics talks about the Dickey-Fuller test and how to get it, here: http://support.sas.com/kb/30/333.html and here is a long explanation: http://support.sas.com/documentation/cdl/en/etsug/67525/HTML/default/viewer.htm#etsug_macros_sect019.htm cynthia   (post modified to show Tech Support and documentation links only) ... View more