Problem Note 36690: RESTRICT statement may produce incorrect results if TREND= option is specified on MODEL statement
If PROC VARMAX is used to fit a model with one or more exogenous variables and the TREND= option is specified on the MODEL statement, then restrictions imposed on the parameter estimates associated with the exogenous variables using the RESTRICT statement are incorrect. The specified restrictions are incorrectly applied to other terms in the model.
For example, if the following PROC VARMAX code is run:
ods select ParameterEstimates;
proc varmax data=a;
model y1 y2 = x1 / p=1 trend=quad;
restrict xl(0,2,1)=0;
run;
quit;
the restriction is applied to the quadratic time trend term in the second equation, rather than to the parameter estimate associated with X1 in the second equation.
This problem only affects restrictions imposed on the parameters associated with the exogenous variables. Restrictions specified in a RESTRICT statement that do not pertain to the exogenous variables are correctly applied.
To circumvent the problem, detrend the data using another approach, such as running a preliminary time-trend regression on the dependent variables. Then, remove the TREND= option from the MODEL statement and model the detrended series in PROC VARMAX with the desired parametric restrictions.
A fix for this issue is planned for a future software release.
Operating System and Release Information
| SAS System | SAS/ETS | z/OS | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Microsoft Windows 2000 Professional | 9.1 TS1M3 SP4 | |
| Microsoft Windows 2000 Server | 9.1 TS1M3 SP4 | |
| Microsoft Windows 2000 Datacenter Server | 9.1 TS1M3 SP4 | |
| Microsoft Windows 2000 Advanced Server | 9.1 TS1M3 SP4 | |
| Microsoft Windows XP 64-bit Edition | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Microsoft Windows Server 2003 Enterprise 64-bit Edition | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Microsoft Windows Server 2003 Datacenter 64-bit Edition | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Microsoft® Windows® for 64-Bit Itanium-based Systems | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Microsoft Windows NT Workstation | 9.1 TS1M3 SP4 | |
| Microsoft Windows Server 2003 Datacenter Edition | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Microsoft Windows Server 2003 Enterprise Edition | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Microsoft Windows Server 2003 Standard Edition | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Microsoft Windows XP Professional | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Windows Vista | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| 64-bit Enabled AIX | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| 64-bit Enabled HP-UX | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| 64-bit Enabled Solaris | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| HP-UX IPF | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Linux | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Linux on Itanium | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| OpenVMS Alpha | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Solaris for x64 | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
| Tru64 UNIX | 9.1 TS1M3 SP4 | 9.2 TS2M2 |
*
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.
If the TREND= option is specified on the MODEL statement and the RESTRICT statement is used to impose restrictions on the parameters associated with the exogenous variables, then the restrictions are applied to the wrong terms in the model.
| Type: | Problem Note |
| Priority: | alert |
| Topic: | Analytics ==> Econometrics
Analytics ==> Forecasting
Analytics ==> Time Series Analysis
SAS Reference ==> Procedures ==> VARMAX
|
| Date Modified: | 2009-11-24 14:05:10 |
| Date Created: | 2009-07-31 15:32:38 |
