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Problem Note 37474: Incorrect forecasts are produced when future values of exogenous variables are not provided

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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.



Operating System and Release Information

Product FamilyProductSystemSAS Release
ReportedFixed*
SAS SystemSAS/ETSHP-UX IPF9.2 TS1M09.2 TS2M2
Linux9.2 TS1M09.2 TS2M2
Linux for x649.2 TS1M09.2 TS2M2
64-bit Enabled HP-UX9.2 TS1M09.2 TS2M2
64-bit Enabled Solaris9.2 TS1M09.2 TS2M2
Windows Vista9.2 TS1M09.2 TS2M2
64-bit Enabled AIX9.2 TS1M09.2 TS2M2
Microsoft Windows Server 2003 Standard Edition9.2 TS1M09.2 TS2M2
Microsoft Windows XP Professional9.2 TS1M09.2 TS2M2
Microsoft Windows Server 2003 Enterprise Edition9.2 TS1M09.2 TS2M2
Microsoft® Windows® for x649.2 TS1M09.2 TS2M2
Microsoft Windows Server 2003 Datacenter Edition9.2 TS1M09.2 TS2M2
Microsoft Windows Server 2003 Enterprise 64-bit Edition9.2 TS1M09.2 TS2M2
Microsoft Windows XP 64-bit Edition9.2 TS1M09.2 TS2M2
Microsoft Windows Server 2003 Datacenter 64-bit Edition9.2 TS1M09.2 TS2M2
z/OS9.2 TS1M09.2 TS2M2
Microsoft® Windows® for 64-Bit Itanium-based Systems9.2 TS1M09.2 TS2M2
Solaris for x649.2 TS1M09.2 TS2M2
OpenVMS on HP Integrity9.2 TS1M09.2 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.