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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 .

CMS 7.00 0B1 .

DigitUnx 7.00 0B1 .

HP800 7.00 0B1 .

MVS 7.00 0B1 .

OS/2 7.00 0B1 .

Solaris 7.00 0B1 .

VMS/AXP 7.00 0B1 .

VMS 7.00 0B1 .

WIN/NT 7.00 0B1 .

Win98 7.00 0P1 .

Win95 7.00 0B1 .

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