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Problem Note 62078: PROC SSM might return incorrect parameter estimates when fitting a model with an ARIMA trend type

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If a model with an ARIMA trend type is estimated in PROC SSM by specifying the P=, Q=, SP=, or SQ= options in the TREND 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:

trend trendspec(arima(p=3));
trend trendspec(arima(q=2));
trend trendspec(arima(p=2, d=1, q=1, sp=1, s=12));
trend trendspec(arima(q=3, sp=2, sq=1, s=4));

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 TREND statement have an order that is at most 1. For example, the following specifications do not encounter the problem:

trend trendspec(arima(p=1, q=1, sp=1, s=12));
trend trendspec(arima(d=1, q=1, sq=1, s=4));

Other than specifying a model for the trend with ARMA orders that are at most 1, there is no circumvention for the problem.

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Operating System and Release Information

Product FamilyProductSystemProduct ReleaseSAS Release
ReportedFixed*ReportedFixed*
SAS SystemSAS/ETSz/OS12.39.4 TS1M0
Microsoft® Windows® for x6412.39.4 TS1M0
Microsoft Windows 8 Enterprise x6412.39.4 TS1M0
Solaris for x6412.39.4 TS1M0
Microsoft Windows 8 Pro x6412.39.4 TS1M0
Microsoft Windows 8.1 Enterprise 32-bit12.39.4 TS1M0
Microsoft Windows 8.1 Enterprise x6412.39.4 TS1M0
Microsoft Windows 8.1 Pro 32-bit12.39.4 TS1M0
Microsoft Windows 8.1 Pro x6412.39.4 TS1M0
Microsoft Windows 1012.39.4 TS1M0
Microsoft Windows Server 2008 R212.39.4 TS1M0
Microsoft Windows Server 2008 for x6412.39.4 TS1M0
Microsoft Windows Server 2012 Datacenter12.39.4 TS1M0
Microsoft Windows Server 2012 R2 Datacenter12.39.4 TS1M0
Microsoft Windows Server 2012 R2 Std12.39.4 TS1M0
Microsoft Windows Server 2012 Std12.39.4 TS1M0
Windows 7 Enterprise x6412.39.4 TS1M0
Windows 7 Professional x6412.39.4 TS1M0
64-bit Enabled AIX12.39.4 TS1M0
64-bit Enabled Solaris12.39.4 TS1M0
HP-UX IPF12.39.4 TS1M0
Linux for x6412.39.4 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.