Problem Note 9189: Output is incorrect when a RESTRICT statement is used with a GARCH model
When a restricted GARCH model is specified in PROC VARMAX (via the
GARCH= option on the MODEL statement along with a RESTRICT statement),
the resulting output, including the table of parameter estimates, is
incorrect. In addition, the following may appear in the SAS log:
WARNING: A total of 1 linearly dependent equality constraints are
deleted.
NOTE: Deleted redundant linear constraints.
A fix for SAS 9.1.3 (9.1 TS1M3) for this issue is available at:
http://www.sas.com/techsup/download/hotfix/e9_sbcs_prod_list.html#009189
For customers running SAS with Asian Language Support (DBCS), this
fix should be downloaded from:
http://www.sas.com/techsup/download/hotfix/e9_dbcs_prod_list.html#009189
Operating System and Release Information
| SAS System | SAS/ETS | Microsoft Windows XP Professional | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| Microsoft Windows NT Workstation | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| Windows Millennium Edition (Me) | 8.2 TS2M0 | |
| Microsoft Windows 95/98 | 8.2 TS2M0 | |
| Microsoft® Windows® for 64-Bit Itanium-based Systems | 9 TS M0 | 9.1 TS1M3 SP4 |
| Microsoft Windows 2000 Professional | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| Microsoft Windows 2000 Server | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| Microsoft Windows 2000 Advanced Server | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| Microsoft Windows 2000 Datacenter Server | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| OpenVMS VAX | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| IRIX | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| 64-bit Enabled Solaris | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| Solaris | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| OS/2 | 8.2 TS2M0 | |
| z/OS | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| Linux | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| ABI+ for Intel Architecture | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| HP-UX | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| CMS | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| HP-UX IPF | 9 TS M0 | 9.1 TS1M3 SP4 |
| 64-bit Enabled HP-UX | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| OpenVMS Alpha | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| 64-bit Enabled AIX | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| Tru64 UNIX | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
| AIX | 8.2 TS2M0 | 9.1 TS1M3 SP4 |
*
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: | alert |
| Topic: | SAS Reference ==> Procedures ==> VARMAX
Analytics ==> Forecasting
Analytics ==> Time Series Analysis
|
| Date Modified: | 2009-02-24 10:19:26 |
| Date Created: | 2003-01-09 15:29:22 |
