The AUTOREG procedure might produce incorrect standard errors for some of the parameters if you specify any of the following COVEST= options in the MODEL statement:

• HCn, where n=0,1,2,3,4
• HAC
• NEWEYWEST

This problem is specific to certain models and data sets.

There is no circumvention for this problem in PROC AUTOREG.

PROC MODEL can be used as a workaround if your model can be specified in this procedure. Specify the HCCME= option in the FIT statement to use heteroscedasticity-consistent covariance matrices. Specify the GMM option and the KERNEL= option in the FIT statement to use heteroscedasticity and autocorrelation consistent covariance matrices. An example of implementing the Newey-West standard errors correction with PROC MODEL can be found in Usage Note 40098: "Newey-West correction of standard errors for heteroscedasticity and autocorrelation".

Operating System and Release Information

Product Family	Product	System	Product Release		SAS Release
			Reported	Fixed*	Reported	Fixed*
SAS System	SAS/ETS	z/OS	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Microsoft® Windows® for x64	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Microsoft Windows Server 2003 Datacenter Edition	9.3		9.3 TS1M0
		Microsoft Windows Server 2003 Enterprise Edition	9.3		9.3 TS1M0
		Microsoft Windows Server 2003 Standard Edition	9.3		9.3 TS1M0
		Microsoft Windows Server 2003 for x64	9.3		9.3 TS1M0
		Microsoft Windows Server 2008	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Microsoft Windows Server 2008 R2	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Microsoft Windows Server 2008 for x64	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Microsoft Windows XP Professional	9.3		9.3 TS1M0
		Windows 7 Enterprise 32 bit	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Windows 7 Enterprise x64	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Windows 7 Home Premium 32 bit	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Windows 7 Home Premium x64	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Windows 7 Professional 32 bit	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Windows 7 Professional x64	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Windows 7 Ultimate 32 bit	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Windows 7 Ultimate x64	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Windows Vista	9.3		9.3 TS1M0
		Windows Vista for x64	9.3		9.3 TS1M0
		64-bit Enabled AIX	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		64-bit Enabled HP-UX	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		64-bit Enabled Solaris	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		HP-UX IPF	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Linux	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Linux for x64	9.3	14.2	9.3 TS1M0	9.4 TS1M4
		Solaris for x64	9.3	14.2	9.3 TS1M0	9.4 TS1M4

* 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.

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The standard errors for some of the parameters might be incorrect when you specify the COVEST=HCn, HAC or NEWEYWEST option in the MODEL statement in PROC AUTOREG.

Type:	Problem Note
Priority:	alert
Topic:	Analytics ==> Econometrics SAS Reference ==> Procedures ==> AUTOREG Analytics ==> Time Series Analysis

Date Modified:	2016-09-22 11:02:00
Date Created:	2016-05-19 14:02:25