SAS Note V7-ARIMA-0485

From: tsdlist@UNX.SAS.COM
Date: Wed Mar 24 1999 - 10:08:02 EST


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V7-ARIMA-0485 *** ALERT NOTE *** PRODUCT: ETS
                                                        PROCEDURE: ARIMA

TITLE: Error or incorrect forecasts when input series has missing values at end

KEYS: ERROR INCORRECT FORECASTS MISSING VALUES INCORRSTAT INCORROUT INVALID
       OPERATION DOMAIN

    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 error, 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 underestimated.

+------REPORTED------+ +---FIXED---+
SYSTEM RELEASE LEVEL RELEASE LEVEL

AIX/R 7.00 0B1 .
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