SAS Institute Alert Note SN-009189

From: SAS Technical Support (tsdlist@unx.sas.com)
Date: Tue Jan 28 2003 - 14:50:53 EST

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    SN-009189 ***Alert Note***

    Output is incorrect when a RESTRICT statement is used with a GARCH model

    Product: SAS/ETS
    Component: VARMAX procedure
    Priority: ALERT

      When a restricted GARCH model is specified in PROC VARMAX (via the
      GARCH= option on the MODEL statement along with a RESTRICT statement),
      the resulting output, including the table of parameter estimates, is
      incorrect. In addition, the following may appear in the SAS log:

         WARNING: A total of 1 linearly dependent equality constraints are
         deleted.
         NOTE: Deleted redundant linear constraints.

      There is no circumvention for this problem.

    Keywords:
      restrict parameter estimates garch multivariate incorrout incorrstat
      varmax linear linearly dependent dependency restriction deleted
      constraint
      output is incorrect when a restrict statement is used with a garch model
      009189 9189

    SAS Note Revised On: Wed, 22 Jan 2003

    System Version Reported Version Fixed

    AIX 64 bit 8.2 TS2M0
    AIX 64 bit 9 TSM0
    AIX/6000 8.2 TS2M0
    VM/ESA (CMS) 8.2 TS2M0
    Compaq Tru64 UNIX 8.2 TS2M0
    Compaq Tru64 UNIX 9 TSM0
    HP-UX Operating Systems 8.2 TS2M0
    HP-UX Itanium 9 TSM0
    HP-UX 64 bit 8.2 TS2M0
    HP-UX 64 bit 9 TSM0
    Intel ABI 8.2 TS2M0
    Intel Itanium Processor Family(IPF) 9 TSM0
    Linux 8.2 TS2M0
    Linux 9 TSM0
    MIPS ABI 8.2 TS2M0
    OS/390 (MVS) 8.2 TS2M0
    OS/390 (MVS) 9 TSM0
    IBM OS/2 8.2 TS2M0
    Solaris 8.2 TS2M0
    Solaris 64 bit 8.2 TS2M0
    Solaris 64 bit 9 TSM0
    OpenVMS VAX 8.2 TS2M0
    OpenVMS Alpha 8.2 TS2M0
    OpenVMS Alpha 9 TSM0
    Windows NT 8.2 TS2M0
    Windows NT 9 TSM0
    Windows 2000 Datacenter Server 8.2 TS2M0
    Windows 2000 Datacenter Server 9 TSM0
    Windows 2000 Professional 8.2 TS2M0
    Windows 2000 Professional 9 TSM0
    Windows 2000 Server and Advanced Server 8.2 TS2M0
    Windows 2000 Server and Advanced Server 9 TSM0
    Windows 95 8.2 TS2M0
    Windows 98 8.2 TS2M0
    Windows ME 8.2 TS2M0
    Windows XP 8.2 TS2M0
    Windows XP 9 TSM0
    Windows 64 bit 9 TSM0

    No Fixes Available

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