Problem Note 42840: Predicted values, forecasts and residual-based statistics of fit are all missing when data has large variance
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When the variable being modeled in PROC UCM has large variance, the kalman filter algorithm may fail. In this case, the OUTFOR= data set has missing values for the FORECAST and RESIDUAL variables for all observations, and the following note is printed in the listing file immediately after the Likelihood Based Fit Statistics table:
NOTE: For this model the collapse of the diffuse Kalman filter has
not occurred within the data span. In this case the one step
ahead forecasts and corresponding fit statistics are set to
missing.
Rescaling the data to reduce the variance in the response variable may circumvent the problem and allow the one-step-ahead predicted values, residuals and future-period forecasts to be computed.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS/ETS | z/OS | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft® Windows® for 64-Bit Itanium-based Systems | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Datacenter 64-bit Edition | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Enterprise 64-bit Edition | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows XP 64-bit Edition | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft® Windows® for x64 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Datacenter Edition | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Enterprise Edition | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Standard Edition | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 for x64 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2008 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2008 for x64 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows XP Professional | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Enterprise 32 bit | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Enterprise x64 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Home Premium 32 bit | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Home Premium x64 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Professional 32 bit | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Professional x64 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Ultimate 32 bit | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Ultimate x64 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows Vista | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows Vista for x64 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| 64-bit Enabled AIX | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| 64-bit Enabled HP-UX | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| 64-bit Enabled Solaris | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| HP-UX IPF | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Linux | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Linux for x64 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| OpenVMS on HP Integrity | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Solaris for x64 | 9.22 | 9.3 | 9.2 TS2M3 | 9.3 TS1M0 | ||
A fix for this issue for SAS/ETS 9.22 is available at:
http://ftp.sas.com/techsup/download/hotfix/HF2/B98.html#42840| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Econometrics Analytics ==> Forecasting Analytics ==> Time Series Analysis SAS Reference ==> Procedures ==> HPFDIAGNOSE SAS Reference ==> Procedures ==> HPFENGINE SAS Reference ==> Procedures ==> HPFUCMSPEC SAS Reference ==> Procedures ==> UCM |
| Date Modified: | 2011-03-31 16:04:49 |
| Date Created: | 2011-03-31 14:10:54 |