Modeling and Multivariate Methods - SAS

370 Performing Time Series Analysis Chapter 14
Transfer Functions
Figure 14.11 Output and Input Series Menus
Diagnostics
Both parts give basic diagnostics, including the sample mean (Mean), sample standard deviation (Std), and
series length (N).
In addition, the platform tests for stationarity using Augmented Dickey-Fuller (ADF) tests.
Zero Mean ADF
x t
= φx t – 1
+ e t
Single Mean ADF
x t
– μ = φ ( x t – 1
– μ ) + e t
Trend ADF
tests against a random walk with zero mean, i.e.
tests against a random walk with a non-zero mean, i.e.
tests against a random walk with a non-zero mean and a linear trend, i.e.
x t
– μ – βt = φ[ x t – 1
– μ – β( t – 1)
] + e t
Basic diagnostics also include the autocorrelation and partial autocorrelation functions, as well as the
Ljung-Box Q-statistic and p-values, found under the Time Series Basic Diagnostics outline node.
The Cross Correlation command adds a cross-correlation plot to the report. The length of the plot is twice
that of an autocorrelation plot, or 2 × ACF length + 1 .