Problem Note 65955: The UCM procedure might compute incorrect forecasts or post-sample predictions when the SPLINEREG statement is specified with the NKNOTS= option
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When a SPLINEREG statement is specified with the NKNOTS= option in the UCM procedure, the FORECAST statement might return incorrect forecasts or post-sample predictions for some observations.
The historical and forecast time horizons are defined by the SKIPFIRST= and BACK= options in the ESTIMATE and FORECAST statements in PROC UCM. When the SPLINEREG statement is used, it is expected that future values of the spline regressor fall within the minimum and maximum values of the spline regressor in the historical time horizon.
If the spline regressor has a future out-of-sample value in the DATA= data set that is less than the minimum value of the regressor in the historical data range, the multi-step ahead forecast, standard error, and confidence limits for that observation are incorrect. In addition, if a hold-out sample is defined using the BACK= option in the FORECAST statement, the post-sample prediction, standard error, and confidence limits for that observation are incorrect.
For more details about the definitions of the historical and forecast time horizons in PROC UCM, as well as out-of-sample and hold-out sample ranges, see the PROC UCM documentation on the ESTIMATE and FORECAST statements.
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 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 |
| z/OS 64-bit | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft® Windows® for x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows 8 Enterprise 32-bit | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows 8 Enterprise x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows 8 Pro 32-bit | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows 8 Pro x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows 8.1 Enterprise 32-bit | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows 8.1 Enterprise x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows 8.1 Pro 32-bit | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows 8.1 Pro x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows 10 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows Server 2008 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows Server 2008 R2 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows Server 2008 for x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows Server 2012 Datacenter | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows Server 2012 R2 Datacenter | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows Server 2012 R2 Std | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows Server 2012 Std | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Microsoft Windows Server 2016 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Windows 7 Enterprise 32 bit | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Windows 7 Enterprise x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Windows 7 Home Premium 32 bit | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Windows 7 Home Premium x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Windows 7 Professional 32 bit | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Windows 7 Professional x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Windows 7 Ultimate 32 bit | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Windows 7 Ultimate x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| 64-bit Enabled AIX | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| 64-bit Enabled Solaris | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| HP-UX IPF | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Linux for x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
| Solaris for x64 | 14.3 | 15.2 | 9.4 TS1M5 | 9.4 TS1M7 | ||
A fix for this issue for SAS/ETS 15.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/E4E.html#65955A fix for this issue for SAS Threaded Kernel Extensions for Econometric Time Series 15.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/F1H.html#65955| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Econometrics Analytics ==> Forecasting Analytics ==> Regression Analytics ==> Time Series Analysis SAS Reference ==> Procedures ==> UCM |
| Date Modified: | 2021-03-22 15:16:20 |
| Date Created: | 2020-05-12 10:41:16 |