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In some cases, the differencing requested with the DIF=, DIFY=, and
DIFX= options on the MODEL or PROC VARMAX statement may not be performed
as specified. Results of the differencing operations may be incorrect in
either of the following two cases:

1) the DIF= option is used to specify the degrees of differencing for
one or more of the model variables, or

2) both the DIFX= and DIFY= options are used.

The only two specifications in which the differencing operations
consistently produce the correct results are when only the independent
variables are differenced with the DIFX= option, or when only the
dependent variables are differenced with the DIFY= option.

To circumvent the problem, the desired differencing operations may be
performed on the model variables using the DIF function in the DATA
step. The differenced variables can then be used as the model variables
in the PROC VARMAX step. Note that when the differencing is performed in
the DATA step, the forecasts produced by the VARMAX procedure are based
on the differenced series and are not integrated back to the metric of
the original series.


A Technical Support hot fix for Release 8.2 (TS2M0) for this
issue is available at:

http://www.sas.com/techsup/download/hotfix/82_sbcs_prod_list.html#013491

For customers running SAS with Asian Language Support (DBCS), this
hot fix should be downloaded from:

http://www.sas.com/techsup/download/hotfix/82_dbcs_prod_list.html#013491


A fix for SAS 9.1.3 (9.1 TS1M3) for this issue is available at:

http://www.sas.com/techsup/download/hotfix/e9_sbcs_prod_list.html#013491

For customers running SAS with Asian Language Support (DBCS), this
fix should be downloaded from:

http://www.sas.com/techsup/download/hotfix/e9_dbcs_prod_list.html#013491

Operating System and Release Information

A fix for Release 8.2 (TS2M0) for this issue is available at:

A fix for Release 8.2 (TS2M0) with Asian Language Support (DBCS) for this issue is available at:

A fix for SAS 9.1.3 (9.1 TS1M3) for this issue is available at:

A fix for SAS 9.1.3 (9.1 TS1M3) with Asian Language Support (DBCS) for this issue is available at :