SAS Note V6-ARIMA-F779

From: tsdlist@UNX.SAS.COM
Date: Wed Mar 24 1999 - 10:04:58 EST


>>>>>>>> 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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