When the MODEL statement in PROC AUTOREG includes the NLAG= and GODFREY options, if the STATIONARITY=PP or STATIONARITY=KPSS option is also specified, then Godfrey’s general Lagrange multiplier test is incorrect.

To circumvent the problem, do not specify the STATIONARITY=PP option or the STATIONARITY=KPSS option together with the NLAG= and GODFREY options. You must specify the STATIONARITY=PP option or the STATIONARITY=KPSS option in a separate execution of PROC AUTOREG.