SAS Institute Alert Note SN-009415

From: SAS Technical Support (tsdlist@unx.sas.com)
Date: Fri Mar 21 2003 - 08:04:27 EST

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    SN-009415 ***Alert Note***

    Values in the OUTEST= data set are incorrect for VAR-GARCH models

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

      The values in the OUTEST= data set are incorrect for any VAR-GARCH
      model, which is specified with the P= and the GARCH= options on the
      MODEL statement.

      The GARCH= option is considered experimental in Release 8.2.

      To circumvent the problem, output the parameter estimates and standard
      errors using the appropriate ODS tables instead of using the OUTEST=
      option. For example:

         proc varmax data=work.a;
         ods output parameterestimates=work.b
               garchparameterestimates=work.c;
         model y1 y2 / p=1 garch=(q=1);
         nloptions tech=tr;
         run;

    Keywords:
      outest parameter estimates standard errors garch
      values in the outest= data set are incorrect for var-garch models
      009415 9415

    SAS Note Revised On: Tue, 25 Feb 2003

    System Version Reported Version Fixed

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

    No Fixes Available

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