>>>>>>>> SAS Notes -- Copyright (c) 1991 - 1999 by SAS Institute Inc. <<<<<<<<
V6-ARIMA-F779 *** ALERT NOTE *** PRODUCT: ETS
PROCEDURE: ARIMA
TITLE: Error or incorrect forecasts when input series has missing values at end
KEYS: ABEND INCORRECT FORECASTS INPUT SERIES MISSING VALUES DOMAIN ERROR
INVALID OPERATION INCORROUT INCORRSTAT TRANSFER FUNCTION
When forecasting a transfer function model in which the input series
has missing values at the end of the data, but the response series
does not, PROC ARIMA may return an Invalid Operation error, a Domain
error or incorrect forecasts for the response series.
For example, suppose a data set has 46 observations in total. Y, the
response series, has complete data for all 46 observations. X, the
input series, has complete data through observation 40, but missing
values for observations 41-46. If you try to forecast Y through
observation 50, PROC ARIMA will result in an Invalid Operation, a
Domain error or in incorrect forecasts for Y.
To circumvent the problem, identify, estimate and forecast a model
for X, merge the forecasts for X with the original data, and then
estimate and forecast the model for Y. Note that the standard errors
of the forecasts for Y will be understated.
+------REPORTED------+ +---FIXED---+
SYSTEM RELEASE LEVEL RELEASE LEVEL
AOS/VS 6.06
CMS 6.06
MVS 6.06
OS/2 6.06
PRIMOS 6.06
VMS 6.06
Apollo 6.07 TS101
AIX/R 6.07 TS101
AViiON 6.07 TS101
BULL 6.07 TS201
CMS 6.07 TS301
HP300 6.07 TS101
HP800 6.07 TS201
MIPS 6.07 TS101
MVS 6.07 TS301
NeXT 6.07 TS201
SGI 6.07 TS201
Siemens 6.07 TS201
Sun-3 6.07 TS201
Sun-4 6.07 TS201
ULTRIX 6.07 TS101
VMS 6.07 TS301
CMS 6.08 TS404
MVS 6.08 TS404
OS/2 6.08 TS404
VMS 6.08 TS404
VSE 6.08 TS404
Windows 6.08 TS404
CMS 6.09 TS450
MVS 6.09 TS450
VMS 6.09 TS450
AIX/R 6.11 TS020
HP800 6.11 TS020
IABI 6.11 TS040
MIPS ABI 6.11 TS040
OSF/AXP 6.11 TS040
OS/2 6.11 TS020
Solaris 6.11 TS020
Windows 6.11 TS020
WIN/NT 6.11 TS040
Win95 6.11 TS040
AIX/R 6.12 TS020
DigitUnx 6.12 TS040
HP800 6.12 TS020
Macintosh 6.12 TS040
OS/2 6.12 TS020
Solaris 6.12 TS020
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