Problem Note 63026: Solution values are incorrect when resid.y or the %MA macro is specified in PROC MODEL
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When the following conditions are met in the MODEL procedure:
- a resid.y term appears in the model equation or the %MA macro is used
- a SOLVE statement is specified
the solution values are incorrect.
To circumvent the problem, replace any resid.y term with (pred.y-actual.y) in the equation and specify the moving average model using zlag(pred.y-actual.y). Do not use the %MA macro.
Here is an example of an MA(2) model using zlag(pred.y-actual.y) specification:
proc model data=yourdata;
parms a b ma1 ma2;
y = a + b * x + ma1 * zlag1(pred.y-actual.y) + ma2 * zlag2(pred.y-actual.y);
fit y;
solve y /out = outs ;
run;
parms a b ma1 ma2;
y = a + b * x + ma1 * zlag1(pred.y-actual.y) + ma2 * zlag2(pred.y-actual.y);
fit y;
solve y /out = outs ;
run;
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS/ETS | z/OS | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 |
| Microsoft® Windows® for 64-Bit Itanium-based Systems | 9.2 | 9.2 TS2M2 | ||||
| Microsoft Windows Server 2003 Datacenter 64-bit Edition | 9.2 | 9.2 TS2M2 | ||||
| Microsoft Windows Server 2003 Enterprise 64-bit Edition | 9.2 | 9.2 TS2M2 | ||||
| Microsoft Windows XP 64-bit Edition | 9.2 | 9.2 TS2M2 | ||||
| Microsoft® Windows® for x64 | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Microsoft Windows Server 2003 Datacenter Edition | 9.2 | 9.2 TS2M2 | ||||
| Microsoft Windows Server 2003 Enterprise Edition | 9.2 | 9.2 TS2M2 | ||||
| Microsoft Windows Server 2003 Standard Edition | 9.2 | 9.2 TS2M2 | ||||
| Microsoft Windows Server 2003 for x64 | 9.2 | 9.2 TS2M2 | ||||
| Microsoft Windows Server 2008 | 9.2 | 9.2 TS2M2 | ||||
| Microsoft Windows Server 2008 R2 | 9.2 | 9.2 TS2M2 | ||||
| Microsoft Windows Server 2008 for x64 | 9.2 | 9.2 TS2M2 | ||||
| Microsoft Windows XP Professional | 9.2 | 9.2 TS2M2 | ||||
| Windows 7 Enterprise 32 bit | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Windows 7 Enterprise x64 | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Windows 7 Home Premium 32 bit | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Windows 7 Home Premium x64 | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Windows 7 Professional 32 bit | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Windows 7 Professional x64 | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Windows 7 Ultimate 32 bit | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Windows 7 Ultimate x64 | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Windows Vista | 9.2 | 9.2 TS2M2 | ||||
| Windows Vista for x64 | 9.2 | 9.2 TS2M2 | ||||
| 64-bit Enabled AIX | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| 64-bit Enabled HP-UX | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| 64-bit Enabled Solaris | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| HP-UX IPF | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Linux | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Linux for x64 | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| OpenVMS on HP Integrity | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
| Solaris for x64 | 9.2 | 15.1 | 9.2 TS2M2 | 9.4 TS1M6 | ||
If a moving average model is specified in PROC MODEL using either the %MA macro or a zlag(resid.y) term, solution values from the SOLVE statement are incorrect.
| Type: | Problem Note |
| Priority: | alert |
| Topic: | SAS Reference ==> Procedures ==> MODEL Analytics ==> Econometrics Analytics ==> Regression Analytics ==> Simulation Analytics ==> Time Series Analysis |
| Date Modified: | 2018-11-14 12:48:45 |
| Date Created: | 2018-10-04 14:55:39 |