Problem Note 55569: PROC AUTOREG Godfrey's test results might be incorrect when STATIONARITY=PP or STATIONARITY=KPSS
When the MODEL statement in PROC AUTOREG includes the NLAG= and GODFREY options, if the STATIONARITY=PP or STATIONARITY=KPSS option is also specified, then Godfrey’s general Lagrange multiplier test is incorrect.
To circumvent the problem, do not specify the STATIONARITY=PP option or the STATIONARITY=KPSS option together with the NLAG= and GODFREY options. You must specify the STATIONARITY=PP option or the STATIONARITY=KPSS option in a separate execution of PROC AUTOREG.
Operating System and Release Information
| SAS System | SAS/ETS | Solaris for x64 | 9.21 | | 9.2 TS2M0 | |
| OpenVMS on HP Integrity | 9.21 | | 9.2 TS2M0 | |
| Linux for x64 | 9.21 | | 9.2 TS2M0 | |
| Linux | 9.21 | | 9.2 TS2M0 | |
| HP-UX IPF | 9.21 | | 9.2 TS2M0 | |
| 64-bit Enabled Solaris | 9.21 | | 9.2 TS2M0 | |
| 64-bit Enabled HP-UX | 9.21 | | 9.2 TS2M0 | |
| 64-bit Enabled AIX | 9.21 | | 9.2 TS2M0 | |
| Windows Vista for x64 | 9.21 | | 9.2 TS2M0 | |
| Windows Vista | 9.21 | | 9.2 TS2M0 | |
| Microsoft Windows XP Professional | 9.21 | | 9.2 TS2M0 | |
| Microsoft Windows Server 2008 for x64 | 9.21 | | 9.2 TS2M0 | |
| Microsoft Windows Server 2008 R2 | 9.21 | | 9.2 TS2M0 | |
| Microsoft Windows Server 2003 for x64 | 9.21 | | 9.2 TS2M0 | |
| Microsoft Windows Server 2003 Standard Edition | 9.21 | | 9.2 TS2M0 | |
| Microsoft Windows Server 2003 Enterprise Edition | 9.21 | | 9.2 TS2M0 | |
| Microsoft Windows Server 2003 Datacenter Edition | 9.21 | | 9.2 TS2M0 | |
| Microsoft® Windows® for x64 | 9.21 | | 9.2 TS2M0 | |
| Microsoft Windows XP 64-bit Edition | 9.21 | | 9.2 TS2M0 | |
| Microsoft Windows Server 2003 Enterprise 64-bit Edition | 9.21 | | 9.2 TS2M0 | |
| Microsoft Windows Server 2003 Datacenter 64-bit Edition | 9.21 | | 9.2 TS2M0 | |
| Microsoft® Windows® for 64-Bit Itanium-based Systems | 9.21 | | 9.2 TS2M0 | |
| z/OS | 9.21 | | 9.2 TS2M0 | |
*
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.
The Godfrey's test results in PROC AUTOREG are incorrect when the STATIONARITY=PP or STATIONRITY=KPSS option is specified in a MODEL statement that also includes the NLAG= and GODFREY options.
| Type: | Problem Note |
| Priority: | alert |
| Topic: | Analytics ==> Econometrics
Analytics ==> Time Series Analysis
SAS Reference ==> Procedures ==> AUTOREG
|
| Date Modified: | 2015-05-08 13:16:49 |
| Date Created: | 2015-04-15 14:23:15 |
