Problem Note 62128: PROC SSM might return incorrect results if the TYPE=LL option is specified in the STATE statement
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When fitting a model with a local linear trend, PROC SSM returns incorrect results under these conditions:
- The local linear trend is specified in a STATE statement with the TYPE=LL option, and
- the SLOPECOV suboption is explicitly specified and is a function of parameters defined in the PARMS statement, and
- the shape of the SLOPECOV specification is different from the shape of the COV spec. The shapes can be defined as I, D or G.
The following example illustrates three PROC SSM steps that model a local linear trend. The first two PROC SSM steps return correct results. However, the third PROC SSM step encounters the problem. In the third case, the SLOPECOV suboption is defined in terms of OMEGA, which is a function of the LOMEGA parameter listed in the PARMS statement. Also, the shape of SLOPECOV is defined as D, whereas the shape of COV is not defined.
proc ssm data=test plots=none;
title "Correct Result";
id time;
state reg(1) type=LL(slopecov(d));
comp line = reg[1];
irregular wn;
model y = line wn;
run;
proc ssm data=test plots=none;
title "Correct Result";
parms lomega;
omega = exp(lomega);
id time;
state reg(1) type=LL(slopecov(d)=(omega)) cov(d)=(0);
comp line = reg[1];
irregular wn;
model y = line wn;
run;
proc ssm data=test plots=none;
title "Incorrect Result";
parms lomega;
omega = exp(lomega);
id time;
state reg(1) type=LL(slopecov(d)=(omega));
comp line = reg[1];
irregular wn;
model y = line wn;
run;
title "Correct Result";
id time;
state reg(1) type=LL(slopecov(d));
comp line = reg[1];
irregular wn;
model y = line wn;
run;
proc ssm data=test plots=none;
title "Correct Result";
parms lomega;
omega = exp(lomega);
id time;
state reg(1) type=LL(slopecov(d)=(omega)) cov(d)=(0);
comp line = reg[1];
irregular wn;
model y = line wn;
run;
proc ssm data=test plots=none;
title "Incorrect Result";
parms lomega;
omega = exp(lomega);
id time;
state reg(1) type=LL(slopecov(d)=(omega));
comp line = reg[1];
irregular wn;
model y = line wn;
run;
To circumvent the problem, make sure to include a COV specification with the same shape as the SLOPECOV specification anytime the SLOPECOV suboption is a function of one or more model parameters. To do this, you might have to artificially add zeros, ones, or some other (known) constants to the SLOPECOV and COV specifications, as shown in the second example above where the diagonal elements of COV are set to 0.
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 | z/OS | 14.1 | 9.4 TS1M3 | ||
| z/OS 64-bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft® Windows® for x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8 Enterprise 32-bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8 Enterprise x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8 Pro 32-bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8 Pro x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8.1 Enterprise 32-bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8.1 Enterprise x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8.1 Pro 32-bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8.1 Pro x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 10 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2008 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2008 R2 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2008 for x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2012 Datacenter | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Ultimate 32 bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2012 R2 Datacenter | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2012 R2 Std | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2012 Std | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Enterprise 32 bit | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Enterprise x64 | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Home Premium 32 bit | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Home Premium x64 | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Professional 32 bit | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Professional x64 | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Ultimate x64 | 14.1 | 9.4 TS1M3 | ||||
| 64-bit Enabled AIX | 14.1 | 9.4 TS1M3 | ||||
| 64-bit Enabled Solaris | 14.1 | 9.4 TS1M3 | ||||
| HP-UX IPF | 14.1 | 9.4 TS1M3 | ||||
| Linux for x64 | 14.1 | 9.4 TS1M3 | ||||
| Solaris for x64 | 14.1 | 9.4 TS1M3 | ||||
A fix for this issue for SAS/ETS 14.3 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/B6N.html#62128A fix for this issue for SAS/ETS 14.2 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/A5K.html#62128
Incorrect results are reported by PROC SSM if the TYPE=LL option is specified in the STATE statement, and the SLOPECOV specification is a function of model parameters and has a shape that differs from the COV specification.
| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Econometrics Analytics ==> Forecasting Analytics ==> Time Series Analysis SAS Reference ==> Procedures ==> SSM |
| Date Modified: | 2018-04-18 11:43:56 |
| Date Created: | 2018-04-12 13:48:41 |