/* SAS program for examining leadprod for unit root */ data leadprd; input date:monyy5. leadprod @@; format date monyy5.; title 'Lead Production Data'; title2 '(in tons)'; datalines; jan86 47400 feb86 41600 mar86 49400 apr86 40200 may86 40200 jun86 26500 jul86 16900 aug86 31300 sep86 27500 oct86 28600 nov86 28500 dec86 30100 jan87 38800 feb87 33600 mar87 36000 apr87 33200 may87 34200 jun87 29500 jul87 28800 aug87 30900 sep87 33400 oct87 37600 nov87 39500 dec87 36500 jan88 34300 feb88 35400 mar88 39100 apr88 34300 may88 36200 jun88 34800 jul88 31800 aug88 25300 sep88 32100 oct88 49600 nov88 40000 dec88 39300 jan89 41000 feb89 36000 mar89 39000 apr89 34000 may89 36200 jun89 35500 jul89 35700 aug89 38000 sep89 39300 oct89 34700 nov89 35300 dec89 32300 jan90 38500 feb90 37900 mar90 36900 apr90 38600 may90 36400 jun90 33300 jul90 34000 aug90 38000 sep90 37400 oct90 42300 nov90 36900 dec90 34800 jan91 33900 feb91 34000 mar91 37200 apr91 33300 may91 29800 jun91 24700 jul91 30800 aug91 31100 sep91 32400 oct91 32900 nov91 29100 dec91 31800 jan92 32100 feb92 30500 mar92 36800 apr92 30300 may92 29500 jun92 24700 jul92 27600 aug92 23800 sep92 21400 ; goptions cback=white colors=(black) border reset=(axis symbol); axis1 offset=(1 cm) label=('Year') minor=none order=('01jan86'd to '01jan93'd by year); axis2 label=(angle=90 'Lead Production') order=(15000 to 50000 by 5000); symbol1 i=join; proc gplot data=leadprd; format date year4.; plot leadprod*date / haxis=axis1 vaxis=axis2 vminor=1; run; /* Here we use Proc ARIMA to generate the ADF tests directly. */ proc arima data = leadprd; identify var = leadprod stationarity = (adf=4); run; /* Here we generate the generate the Dickey-Fuller test results directly although we cannot use the p-values generated by PROC REG. */ data leadprd; set leadprd; leadprod_1 = lag(leadprod); leaddif = leadprod - lag1(leadprod); leaddif1 = lag1(leaddif); leaddif2 = lag2(leaddif); leaddif3 = lag3(leaddif); leaddif4 = lag4(leaddif); proc reg data=leadprd; model leaddif = leadprod_1 leaddif1 leaddif2 leaddif3 leaddif4; model leaddif = leadprod_1 leaddif1 leaddif2 leaddif3; model leaddif = leadprod_1 leaddif1 leaddif2; model leaddif = leadprod_1 leaddif1; model leaddif = leadprod_1; run;