62394 - PROC VARMAX generates incorrect multistep-ahead forecasts for some model specifications

Problem Note 62394: PROC VARMAX generates incorrect multistep-ahead forecasts for some model specifications

The VARMAX procedure might generate incorrect multistep-ahead forecasts, standard errors, and confidence limits. The specific conditions under which this problem occurs are described below:

Differencing orders are specified with the DIF= or DIFY= option for at least one of the dependent (endogenous) variables.
Differencing orders are not specified for any of the independent (exogenous) variables.
Multistep-ahead forecasts are requested via the LEAD= option in the OUTPUT statement, where the LEAD= value is greater than the BACK= value.
The DATA= data set includes known future values of one or more of the exogenous variables specified in the model.

If all of the above conditions are met, then the LEAD= forecasts and their associated standard errors and confidence limits written to the OUT= data set are incorrect. The one-step-ahead forecasts and associated standard errors and confidence limits, computed over the historical data range, are correct. Only the multistep-ahead forecasts and associated statistics are incorrect. The problem occurs for all estimation methods and model types, including VARMAX(p,s,q), GARCH, and VEC models.

The following example code illustrates the above case, assuming that the DATA= data set includes four future values of X1 and X2:

proc varmax data=a;

  model y = x1 x2 / dify(1);

  output out=out lead=4;

run;

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
Product Family	Product	System	Reported	Fixed*	Reported	Fixed*
SAS System	SAS/ETS	OpenVMS on HP Integrity	9.22		9.2 TS2M3
		Linux	9.22		9.2 TS2M3
		Linux for x64	9.22		9.2 TS2M3
		HP-UX IPF	9.22		9.2 TS2M3
		64-bit Enabled Solaris	9.22		9.2 TS2M3
		64-bit Enabled HP-UX	9.22		9.2 TS2M3
		64-bit Enabled AIX	9.22		9.2 TS2M3
		Windows Vista for x64	9.22		9.2 TS2M3
		Windows Vista	9.22		9.2 TS2M3
		Windows 7 Ultimate x64	9.22		9.2 TS2M3
		Windows 7 Home Premium x64	9.22		9.2 TS2M3
		Microsoft Windows Server 2003 Standard Edition	9.22		9.2 TS2M3
		Microsoft Windows Server 2003 Enterprise Edition	9.22		9.2 TS2M3
		Microsoft Windows Server 2003 Datacenter Edition	9.22		9.2 TS2M3
		Microsoft® Windows® for x64	9.22		9.2 TS2M3
		Microsoft Windows XP 64-bit Edition	9.22		9.2 TS2M3
		Microsoft Windows Server 2003 Datacenter 64-bit Edition	9.22		9.2 TS2M3
		Microsoft® Windows® for 64-Bit Itanium-based Systems	9.22		9.2 TS2M3
		Windows 7 Ultimate 32 bit	9.22		9.2 TS2M3
		Windows 7 Professional x64	9.22		9.2 TS2M3
		Windows 7 Professional 32 bit	9.22		9.2 TS2M3
		Windows 7 Home Premium 32 bit	9.22		9.2 TS2M3
		Windows 7 Enterprise x64	9.22		9.2 TS2M3
		Windows 7 Enterprise 32 bit	9.22		9.2 TS2M3
		Microsoft Windows XP Professional	9.22		9.2 TS2M3
		Microsoft Windows Server 2008 for x64	9.22		9.2 TS2M3
		Microsoft Windows Server 2008 R2	9.22		9.2 TS2M3
		Microsoft Windows Server 2008	9.22		9.2 TS2M3
		Microsoft Windows Server 2003 for x64	9.22		9.2 TS2M3
		Microsoft Windows Server 2003 Enterprise 64-bit Edition	9.22		9.2 TS2M3
		z/OS	9.22		9.2 TS2M3
		Solaris for x64	9.22		9.2 TS2M3

* 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.

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

Date Modified:	2018-06-12 14:58:43
Date Created:	2018-05-31 12:55:27

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Problem Note 62394: PROC VARMAX generates incorrect multistep-ahead forecasts for some model specifications

Operating System and Release Information