SAS Institute Alert Note SN-009418

From: SAS Technical Support (tsdlist@unx.sas.com)
Date: Fri Feb 14 2003 - 08:40:23 EST

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    SN-009418 ***Alert Note***

    Incorrect standard errors may result when H.var, FIML and restrictions
    are used

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

      Caution should be exercised when using the FIML estimator, an H.var
      equation for modeling the variance, and RESTRICT or BOUNDS statements.
      If the restriction or boundary constraint is "active", then the standard
      errors associated with the model parameter estimates are not correct.

      Equality restrictions expressed with a RESTRICT statement are always
      considered to be active, and therefore, result in incorrect standard
      errors. Boundary constraints expressed with a BOUNDS statement are
      considered to be active only if a parameter estimate is fixed at one of
      the boundary points provided in a BOUNDS statement. When a boundary
      constraint is active, a row appears at the bottom of the Parameter
      Estimates table with a parameter name of the form, "Bound n".

      This set of options and statements is commonly used when estimating ARCH
      or GARCH models with the MODEL procedure. No circumventions are
      available within the MODEL procedure. However, you may want to consider
      the AUTOREG procedure as a possible alternative. If the model cannot be
      fit in PROC AUTOREG, then the NLP procedure in the SAS/OR product may be
      an alternative if you can specify the likelihood function for your
      desired model.

    Keywords:
      incorrect standard errors variance h.var fiml restrict bounds active
      garch arch restrictions heteroskedasticity heteroscedasticity
      incorrect standard errors may result when h.var, fiml and restrictions
      are used
      009418 9418

    SAS Note Revised On: Thu, 13 Feb 2003

    System Version Reported Version Fixed

    AIX/6000 8 TSM0 9.1
    VM/ESA (CMS) 8 TSM0 9.1
    Compaq Tru64 UNIX 8 TSM0 9.1
    HP-UX Operating Systems 8 TSM0 9.1
    Intel ABI 8 TSM0 9.1
    MIPS ABI 8 TSM0 9.1
    OS/390 (MVS) 8 TSM0 9.1
    IBM OS/2 8 TSM0 9.1
    Solaris 8 TSM0 9.1
    OpenVMS VAX 8 TSM0 9.1
    OpenVMS Alpha 8 TSM0 9.1
    Windows NT 8 TSM0 9.1
    Windows 2000 Datacenter Server 8 TSM0 9.1
    Windows 2000 Professional 8 TSM0 9.1
    Windows 2000 Server and Advanced Server 8 TSM0 9.1
    Windows 95 8 TSM0 9.1
    Windows 98 8 TSM0 9.1

    No Fixes Available

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