Transform and Stationary
Review the SAS
code and make sure that all of the data set MEAN_SUMMARY_STATS is
in your SAS Work library because the macro and subsequent code won’t
work otherwise. The macro requires the data set name and output data
set for the parameters and the input variable name to be transformed.
We’ll now use PROC AUTOREG
in the ETS module (Econometrics and Time Series) to test if the variable
EST_SPEND and the transformed hazard variable SU_EM_HZRDFCST_MEAN
are considered Stationary [6].
A stationary time series means that if you were to plot the first
time sequence difference (each value at time t subtracted
from each time unit t-1), it will not have a trend either up or down. The tests we’re performing using PROC AUTOREG ...
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