Problem Note 47870: COPULA option in PROC MODEL may cause incorrect simulation values when dimension of SDATA matrix is smaller than total number of equations
 |  |  |  |  |
If you specify Monte Carlo simulation with the RANDOM= option on the SOLVE statement, and the COPULA option is also specified, and if the dimension of the covariance matrix in the SDATA= data set is smaller than the number of equations to be solved, then those variables that are not in the SDATA= data set incorrectly get perturbed as well. The simulated values in the OUT= data set are also incorrect.
There is no circumvention for this problem.
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 | 9.2 TS2M3 | ||
| Microsoft® Windows® for 64-Bit Itanium-based Systems | 9.22 | 9.2 TS2M3 | ||||
| Microsoft Windows Server 2003 Datacenter 64-bit Edition | 9.22 | 9.2 TS2M3 | ||||
| Microsoft Windows Server 2003 Enterprise 64-bit Edition | 9.22 | 9.2 TS2M3 | ||||
| Microsoft Windows XP 64-bit Edition | 9.22 | 9.2 TS2M3 | ||||
| Microsoft® Windows® for x64 | 9.22 | 9.2 TS2M3 | ||||
| Microsoft Windows Server 2003 Datacenter Edition | 9.22 | 9.2 TS2M3 | ||||
| Microsoft Windows Server 2003 Enterprise Edition | 9.22 | 9.2 TS2M3 | ||||
| Microsoft Windows Server 2003 Standard Edition | 9.22 | 9.2 TS2M3 | ||||
| Microsoft Windows Server 2003 for x64 | 9.22 | 9.2 TS2M3 | ||||
| Microsoft Windows Server 2008 | 9.22 | 9.2 TS2M3 | ||||
| Microsoft Windows Server 2008 for x64 | 9.22 | 9.2 TS2M3 | ||||
| Microsoft Windows XP Professional | 9.22 | 9.2 TS2M3 | ||||
| Windows 7 Enterprise 32 bit | 9.22 | 9.2 TS2M3 | ||||
| Windows 7 Enterprise x64 | 9.22 | 9.2 TS2M3 | ||||
| Windows 7 Home Premium 32 bit | 9.22 | 9.2 TS2M3 | ||||
| Windows 7 Home Premium x64 | 9.22 | 9.2 TS2M3 | ||||
| Windows 7 Professional 32 bit | 9.22 | 9.2 TS2M3 | ||||
| Windows 7 Professional x64 | 9.22 | 9.2 TS2M3 | ||||
| Windows 7 Ultimate 32 bit | 9.22 | 9.2 TS2M3 | ||||
| Windows 7 Ultimate x64 | 9.22 | 9.2 TS2M3 | ||||
| Windows Vista | 9.22 | 9.2 TS2M3 | ||||
| Windows Vista for x64 | 9.22 | 9.2 TS2M3 | ||||
| 64-bit Enabled AIX | 9.22 | 9.2 TS2M3 | ||||
| 64-bit Enabled HP-UX | 9.22 | 9.2 TS2M3 | ||||
| 64-bit Enabled Solaris | 9.22 | 9.2 TS2M3 | ||||
| HP-UX IPF | 9.22 | 9.2 TS2M3 | ||||
| Linux | 9.22 | 9.2 TS2M3 | ||||
| Linux for x64 | 9.22 | 9.2 TS2M3 | ||||
| OpenVMS on HP Integrity | 9.22 | 9.2 TS2M3 | ||||
| Solaris for x64 | 9.22 | 9.2 TS2M3 | ||||
A fix for this issue for SAS/ETS 12.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/H85.html#47870A fix for this issue for SAS Threaded Kernel Extensions for Econometric Time Series 12.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/H87.html#47870| Type: | Problem Note |
| Priority: | alert |
| Topic: | Analytics ==> Econometrics Analytics ==> Simulation SAS Reference ==> Procedures ==> MODEL |
| Date Modified: | 2012-10-18 15:41:51 |
| Date Created: | 2012-09-12 14:02:05 |