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If a model with exogenous (input) variables is estimated in PROC VARMAX and out-of-sample forecasts of the response variables are desired, then future values of the input variables must be provided. PROC VARMAX first checks to see if future values of the input variables are included as part of the DATA= data set. If they are, then the procedure uses these values when forecasting the response variables. If future values of the input variables are not provided as part of the DATA= data set, then PROC VARMAX automatically forecasts these variables using the same VARMA model fit to the response variables. In this latter case when PROC VARMAX automatically forecasts the input variables, the out-of-sample forecasts for the response variables are incorrect.

To circumvent the problem, use either a prior PROC VARMAX step or some other method to forecast the exogenous variables and then append these forecasts to the bottom of the DATA= data set passed to the PROC VARMAX step used to model and forecast the response variables.

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