Problem Note 15588: Forecasts and their standard errors are incorrect when both DIFY= and ECM= options are specified on the MODEL statement
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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.
*
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.
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 | ||
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#015588A 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| 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 |