The standard errors of the parameter estimates associated with the nonstationary exogenous variables in PROC VARMAX might be incorrect under the following conditions:

• the ECM= option is specified in the MODEL statement
• the model includes only a single dependent variable
• the model includes one or more nonstationary exogenous variables

The t-statistics and p-values associated with the parameter estimates for the exogenous variables in the model should be interpreted with caution.

Note that the parameter estimates for all terms in the model are correct. Therefore, the forecasts and confidence limits computed by the OUTPUT statement and written to the OUT= data set are also correct. Also note that if the ECM= option is specified and more than one dependent variable is included in the model, then the standard errors associated with the nonstationary exogenous variables are correct. The problem occurs only when there is a single dependent variable specified in the Error Correction Model equation.

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	9.3		9.3 TS1M0
		Microsoft® Windows® for x64	9.3		9.3 TS1M0
		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		9.3 TS1M0
		Microsoft Windows Server 2008 R2	9.3		9.3 TS1M0
		Microsoft Windows Server 2008 for x64	9.3		9.3 TS1M0
		Microsoft Windows XP Professional	9.3		9.3 TS1M0
		Windows 7 Enterprise 32 bit	9.3		9.3 TS1M0
		Windows 7 Enterprise x64	9.3		9.3 TS1M0
		Windows 7 Home Premium 32 bit	9.3		9.3 TS1M0
		Windows 7 Home Premium x64	9.3		9.3 TS1M0
		Windows 7 Professional 32 bit	9.3		9.3 TS1M0
		Windows 7 Professional x64	9.3		9.3 TS1M0
		Windows 7 Ultimate 32 bit	9.3		9.3 TS1M0
		Windows 7 Ultimate x64	9.3		9.3 TS1M0
		Windows Vista	9.3		9.3 TS1M0
		Windows Vista for x64	9.3		9.3 TS1M0
		64-bit Enabled AIX	9.3		9.3 TS1M0
		64-bit Enabled HP-UX	9.3		9.3 TS1M0
		64-bit Enabled Solaris	9.3		9.3 TS1M0
		HP-UX IPF	9.3		9.3 TS1M0
		Linux	9.3		9.3 TS1M0
		Linux for x64	9.3		9.3 TS1M0
		Solaris for x64	9.3		9.3 TS1M0

* 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 of the parameter estimates associated with the nonstationary exogenous variables in the model might not be correct when the ECM= option is used and the model includes only a single dependent variable.

Type:	Problem Note
Priority:	medium
Topic:	Analytics ==> Econometrics Analytics ==> Financial Analysis Analytics ==> Forecasting Analytics ==> Time Series Analysis SAS Reference ==> Procedures ==> VARMAX

Date Modified:	2017-01-05 14:36:11
Date Created:	2017-01-05 11:24:29