SAS Institute Alert Note SN-009136

From: SAS Technical Support (tsdlist@unx.sas.com)
Date: Tue Jan 28 2003 - 14:53:12 EST

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    SN-009136 ***Alert Note***

    GARCH parameter estimates table is incorrect when multiple equation
    syntax is specified

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

      When the multiple equation syntax is specified for the GARCH modeling
      capabilities in PROC VARMAX, the parameter estimates table is incorrect.
      The multiple equation syntax is typically used whenever the explanatory
      variables for at least one response variable differ from that of another
      response variable, as in the following example:

         proc varmax data=work.a;
         model y1=x1, y2=x2 / garch=(p=1 q=1);
         run;

      There is no circumvention for this problem.

    Keywords:
      garch multiple equation model incorrout incorrstat incorrect syntax
      garch parameter estimates table is incorrect when multiple equation
      syntax is specified
      009136 9136

    SAS Note Revised On: Fri, 24 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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