Problem Note 65038: The AUTOREG procedure generates some incorrect p-values when the STATIONARITY=(ERS) option is specified
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When the STATIONARITY=(ERS) option is specified in the MODEL statement in PROC AUTOREG, these results in the ERS Unit Root Test output table are incorrect:
- Pr < PT for Type=Trend (p-value for the point optimal test)
- Pr < DFGLS for Type=Single Mean (p-value for the DF-GLS test)
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 | 12.1 | 9.3 TS1M2 | ||
| Microsoft® Windows® for x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Enterprise 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Enterprise x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Pro 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8 Pro x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Enterprise 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Enterprise x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Pro 32-bit | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows 8.1 Pro x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 Datacenter Edition | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 Enterprise Edition | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 Standard Edition | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 for x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 R2 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 for x64 | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 Datacenter | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 R2 Datacenter | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 R2 Std | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2012 Std | 12.1 | 9.3 TS1M2 | ||||
| Microsoft Windows XP Professional | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Enterprise 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Enterprise x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Home Premium 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Home Premium x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Professional 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Professional x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Ultimate 32 bit | 12.1 | 9.3 TS1M2 | ||||
| Windows 7 Ultimate x64 | 12.1 | 9.3 TS1M2 | ||||
| Windows Vista | 12.1 | 9.3 TS1M2 | ||||
| Windows Vista for x64 | 12.1 | 9.3 TS1M2 | ||||
| 64-bit Enabled AIX | 12.1 | 9.3 TS1M2 | ||||
| 64-bit Enabled HP-UX | 12.1 | 9.3 TS1M2 | ||||
| 64-bit Enabled Solaris | 12.1 | 9.3 TS1M2 | ||||
| HP-UX IPF | 12.1 | 9.3 TS1M2 | ||||
| Linux | 12.1 | 9.3 TS1M2 | ||||
| Linux for x64 | 12.1 | 9.3 TS1M2 | ||||
| Solaris for x64 | 12.1 | 9.3 TS1M2 | ||||
A fix for this issue for SAS/ETS 15.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/E4E.html#65038A fix for this issue for SAS/ETS 14.3 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/B6N.html#65038A fix for this issue for SAS/ETS 14.2 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/A5K.html#65038A fix for this issue for SAS/ETS 14.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/V25.html#65038
When the STATIONARITY=(ERS) option is specified in the MODEL statement in PROC AUTOREG, certain unit root test p-values are incorrect.
| Type: | Problem Note |
| Priority: | alert |
| Topic: | Analytics ==> Econometrics Analytics ==> Time Series Analysis SAS Reference ==> Procedures ==> AUTOREG |
| Date Modified: | 2019-11-21 12:22:40 |
| Date Created: | 2019-10-31 11:23:42 |