Results of ADF test in sas

mirage · science forum beginner Joined: 17 May 2006 Posts: 3

Hi all,
I am doing an ADF test on a variable .the code is as follows

proc arima data=apple.volp;
identify var=VOLD(1) stationarity=(adf=(5,6,7, Cool

);
run;

The variable follws an ARMA(1,2) process.Since it follows an MA process
of order 2 ,that's why I'm taking higher ADF lags.
The result looks like
Type Lags Rho Pr < Rh Tau Pr < Tau F Pr > F
Zero 5 -0.2553 0.6236 -0.46 0.5124
Mean 6 -0.2308 0.6292 -0.51 0.4912
7 -0.1888 0.6387 -0.45 0.518
8 -0.1243 0.6533 -0.35 0.5578
Single 5 -126.256 0.0001 -4.51 0.0004 10.19 0.001
Mean 6 -83.7163 0.0012 -3.92 0.0025 7.73 0.001
7 -105.735 0.0001 -3.8 0.0037 7.27 0.001
8 -66.19 0.0011 -3.3 0.0169 5.47 0.0246
Trend 5 -2860.7 0.0001 -5.63 <.0001 15.89 0.001
6 -1255.18 0.0001 -4.93 0.0005 12.17 0.001
7 245.6832 0.9999 -5.04 0.0003 12.71 0.001
8 203.6458 0.9999 -4.69 0.0011 11.03 0.001
These 3 types of test result is not clear to me.can anybody give a step
by step interpretation of this result.
Thanks
Rupa

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