Problem Note 62075: PROC UCM might return incorrect parameter estimates when fitting a model with AR, MA, or ARMA errors
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If a model with an AR, MA, or ARMA error structure is estimated in PROC UCM by specifying the P=, Q=, SP=, or SQ= options in the IRREGULAR statement, the resulting parameter estimates and associated statistics might be incorrect. The incorrect results can be encountered when one or more of the P=, Q=, SP=, or SQ= options have a specified value that is greater than 1. Here are some examples:
irregular q=2;
irregular p=2 q=1 sp=1;
irregular q=3 sp=2 sq=1;
The incorrect parameter estimates and associated statistics can occur for models with orders greater than 1 in any of the nonseasonal or seasonal AR or MA parameters. This problem is not encountered when the nonseasonal or seasonal AR or MA terms specified in the IRREGULAR statement have an order that is at most 1. For example, the following specifications do not encounter the problem:
irregular q=1 sq=1;
Other than specifying a model with ARMA orders that are at most 1, there is no circumvention for the problem.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS/ETS | Microsoft Windows Server 2003 for x64 | 12.1 | 9.3 TS1M2 | ||
| Microsoft Windows Server 2003 Standard Edition | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 Enterprise Edition | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Pro x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 Datacenter Edition | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Pro 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Enterprise x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Enterprise 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Pro x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Pro 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Enterprise x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Enterprise 32-bit | 12.1 | 9.3 TS1M2 | ||||
| z/OS | 12.1 | 9.3 TS1M2 | ||||
| Microsoft® Windows® for x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 R2 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 for x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 Datacenter | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 R2 Datacenter | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 R2 Std | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 Std | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows XP Professional | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Enterprise 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Enterprise x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Home Premium 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Home Premium x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Professional 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Professional x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Ultimate 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Ultimate x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows Vista | 12.1 | 9.3 TS1M2 | ||||
| Windows Vista for x64 | 12.1 | 9.3 TS1M2 | ||||
| 64-bit Enabled AIX | 12.1 | 9.3 TS1M2 | ||||
| 64-bit Enabled HP-UX | 12.1 | 9.3 TS1M2 | ||||
| 64-bit Enabled Solaris | 12.1 | 9.3 TS1M2 | ||||
| HP-UX IPF | 12.1 | 9.3 TS1M2 | ||||
| Linux | 12.1 | 9.3 TS1M2 | ||||
| Linux for x64 | 12.1 | 9.3 TS1M2 | ||||
| Solaris for x64 | 12.1 | 9.3 TS1M2 | ||||
A fix for this issue for SAS/ETS 14.3 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/B6N.html#62075A fix for this issue for SAS/ETS 14.2 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/A5K.html#62075A fix for this issue for SAS High-Performance Econometrics Server Components 14.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/V31.html#62075| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Econometrics Analytics ==> Forecasting Analytics ==> Time Series Analysis SAS Reference ==> Procedures ==> UCM |
| Date Modified: | 2018-04-11 10:35:21 |
| Date Created: | 2018-04-03 12:28:25 |