Beginning in the SAS/ETS^® 14.1 (SAS^® 9.4M3) release, PROC VARMAX returns the following warning message when the ECM= option is specified in the MODEL statement and only one dependent variable is included in the model:

An example of a specification that returns this warning message is shown below:

When this warning message is issued, PROC VARMAX estimates and forecasts the model as an ARX(p) model, rather than as the specified Error Correction Model with Rank=1. If more than one dependent variable is included in the model and the ECM= option is used, then PROC VARMAX estimates the Error Correction Model as specified.

Prior to the SAS/ETS 14.1 release, PROC VARMAX estimated the Error Correction Model even if the model included only one dependent variable. This functionality was removed in the SAS/ETS 14.1 release due to concerns about the standard errors of the parameter estimates associated with the nonstationary exogenous variables as described in SAS Note 59637.

Because the Error Correction Model parameter estimates and forecasts computed by PROC VARMAX are correct even when a single dependent variable is used, this functionality is being restored to the procedure.

Click the Hot Fix tab in this note to access the  hot fix for this issue.

Operating System and Release Information

A fix for this issue for SAS/ETS 14.2 is available at:

A fix for this issue for SAS/ETS 14.1 is available at: