Problem Note 40901: Test statistic in PROC AUTOREG incorrect with NOINT option when GARCH option and/or HETERO statement is specified
If you specify the GARCH = option and/or the HETERO statement together with the NOINT option on the MODEL statement, and if you specify a TEST statement, then the associated F test statistic from the TEST statement is incorrect. If you are using ETS 9.22 and you specify the WALD, LM, or the ALL option on the TEST statement, and you specify the GARCH = option and/or the HETERO statement together with the NOINT option on the MODEL statement, then the WALD test statistic and the LM statistic are also incorrect.
There is no circumvention for this problem.
Operating System and Release Information
| SAS System | SAS/ETS | HP-UX | 8.2 TS2M0 | 9.3 TS1M0 |
| IRIX | 8.2 TS2M0 | 9.3 TS1M0 |
| Linux | 8.2 TS2M0 | 9.3 TS1M0 |
| OpenVMS Alpha | 8.2 TS2M0 | 9.3 TS1M0 |
| Solaris | 8.2 TS2M0 | 9.3 TS1M0 |
| Tru64 UNIX | 8.2 TS2M0 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 8.2 TS2M0 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 8.2 TS2M0 | 9.3 TS1M0 |
| Windows Millennium Edition (Me) | 8.2 TS2M0 | |
| Microsoft Windows Server 2003 Standard Edition | 8.2 TS2M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 8.2 TS2M0 | 9.3 TS1M0 |
| Microsoft Windows NT Workstation | 8.2 TS2M0 | |
| Microsoft Windows 2000 Server | 8.2 TS2M0 | |
| Microsoft Windows 2000 Datacenter Server | 8.2 TS2M0 | |
| OS/2 | 8.2 TS2M0 | |
| AIX | 8.2 TS2M0 | 9.3 TS1M0 |
| ABI+ for Intel Architecture | 8.2 TS2M0 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 8.2 TS2M0 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 8.2 TS2M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 8.2 TS2M0 | 9.3 TS1M0 |
| Microsoft Windows 2000 Professional | 8.2 TS2M0 | |
| Microsoft Windows 2000 Advanced Server | 8.2 TS2M0 | |
| Microsoft Windows 95/98 | 8.2 TS2M0 | |
| OpenVMS VAX | 8.2 TS2M0 | 9.3 TS1M0 |
| z/OS | 8.2 TS2M0 | 9.3 TS1M0 |
*
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 ==> AUTOREG
Analytics ==> Econometrics
|
| Date Modified: | 2011-12-14 12:31:24 |
| Date Created: | 2010-09-15 10:38:12 |
