Problem Note 59640: PROC VARMAX returns "WARNING: The ECM option is ignored in the univariate model"
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Beginning in the SAS/ETS® 14.1 (SAS® 9.4M3) release, PROC VARMAX returns the following warning message when the ECM= option is specified in the MODEL statement and only one dependent variable is included in the model:
An example of a specification that returns this warning message is shown below:
When this warning message is issued, PROC VARMAX estimates and forecasts the model as an ARX(p) model, rather than as the specified Error Correction Model with Rank=1. If more than one dependent variable is included in the model and the ECM= option is used, then PROC VARMAX estimates the Error Correction Model as specified.
Prior to the SAS/ETS 14.1 release, PROC VARMAX estimated the Error Correction Model even if the model included only one dependent variable. This functionality was removed in the SAS/ETS 14.1 release due to concerns about the standard errors of the parameter estimates associated with the nonstationary exogenous variables as described in SAS Note 59637.
Because the Error Correction Model parameter estimates and forecasts computed by PROC VARMAX are correct even when a single dependent variable is used, this functionality is being restored to the procedure.
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 | 14.1 | 9.4 TS1M3 | ||
| z/OS 64-bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft® Windows® for x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8 Enterprise 32-bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8 Enterprise x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8 Pro 32-bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8 Pro x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8.1 Enterprise 32-bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8.1 Enterprise x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8.1 Pro 32-bit | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 8.1 Pro x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows 10 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2008 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2008 R2 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2008 for x64 | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2012 Datacenter | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2012 R2 Datacenter | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2012 R2 Std | 14.1 | 9.4 TS1M3 | ||||
| Microsoft Windows Server 2012 Std | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Enterprise 32 bit | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Enterprise x64 | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Home Premium 32 bit | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Home Premium x64 | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Professional 32 bit | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Professional x64 | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Ultimate 32 bit | 14.1 | 9.4 TS1M3 | ||||
| Windows 7 Ultimate x64 | 14.1 | 9.4 TS1M3 | ||||
| 64-bit Enabled AIX | 14.1 | 9.4 TS1M3 | ||||
| 64-bit Enabled Solaris | 14.1 | 9.4 TS1M3 | ||||
| HP-UX IPF | 14.1 | 9.4 TS1M3 | ||||
| Linux for x64 | 14.1 | 9.4 TS1M3 | ||||
| Solaris for x64 | 14.1 | 9.4 TS1M3 | ||||
A fix for this issue for SAS/ETS 14.2 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/A5K.html#59640A fix for this issue for SAS/ETS 14.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/V24.html#59640| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Econometrics Analytics ==> Financial Analysis Analytics ==> Forecasting Analytics ==> Time Series Analysis SAS Reference ==> Procedures ==> VARMAX |
| Date Modified: | 2018-06-12 14:34:31 |
| Date Created: | 2017-01-05 15:02:26 |