The DATA= data set must contain all of the exogenous variables. Values for all of the exogenous variables are required for each observation for which predicted endogenous values are desired. To forecast past the end of the historical data, the DATA= data set should contain nonmissing values for all of the exogenous variables and missing values for the endogenous variables for the forecast periods, in addition to the historical data. (See Example 23.1 for an illustration.)

In order for PROC SIMLIN to output residuals and compute statistics of fit, the DATA= data set must also contain the endogenous variables with nonmissing actual values for each observation for which residuals and statistics are to be computed.

If the system contains lags, initial values must be supplied for the lagged variables. This can be done by including either the lagged variables or the endogenous variables, or both, in the DATA= data set. If the lagged variables are not in the DATA= data set or if they have missing values in the early observations, PROC SIMLIN prints a warning and uses the endogenous variable values from the early observations to initialize the lags.