When both the DIFY= and the ECM= options are specified on the MODEL statement in PROC VARMAX, the LEAD= forecasts and their corresponding standard errors are incorrect. The LEAD= forecasts are all set to 0, and the corresponding standard errors are sporadically set to missing.

To work around the problem, difference the Y variable in a prior DATA step using the DIF function, and then run PROC VARMAX on the differenced series, excluding the DIFY= option from the MODEL statement.

Select the Hot Fix tab in this note to access the hot fix for this issue.

Operating System and Release Information

Product Family	Product	System	SAS Release
			Reported	Fixed*
SAS System	SAS/ETS	Microsoft Windows XP 64-bit Edition	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Microsoft Windows NT Workstation	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Microsoft Windows XP Professional	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Microsoft® Windows® for 64-Bit Itanium-based Systems	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Microsoft Windows Server 2003 Standard Edition	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Microsoft Windows Server 2003 Enterprise Edition	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Microsoft Windows 2000 Datacenter Server	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Microsoft Windows 2000 Professional	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Microsoft Windows 2000 Server	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Microsoft Windows Server 2003 Datacenter Edition	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Linux	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Microsoft Windows 2000 Advanced Server	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		64-bit Enabled Solaris	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		z/OS	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Linux on Itanium	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		HP-UX IPF	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		64-bit Enabled HP-UX	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		OpenVMS Alpha	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		64-bit Enabled AIX	9.1 TS1M3 SP2	9.1 TS1M3 SP4
		Tru64 UNIX	9.1 TS1M3 SP2	9.1 TS1M3 SP4

* For software releases that are not yet generally available, the Fixed Release is the software release in which the problem is planned to be fixed.

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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#015588

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

http://www.sas.com/techsup/download/hotfix/e9_dbcs_prod_list.html#015588

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Type:	Problem Note
Priority:	alert
Topic:	Analytics ==> Forecasting SAS Reference ==> Procedures ==> VARMAX Analytics ==> Time Series Analysis

Date Modified:	2008-10-08 09:27:51
Date Created:	2005-06-20 12:45:53