Problem Note 62394: PROC VARMAX generates incorrect multistep-ahead forecasts for some model specifications
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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:
model y = x1 x2 / dify(1);
output out=out lead=4;
run;
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Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| 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 | ||||