SAS Institute Alert Note SN-009376

From: SAS Technical Support (tsdlist@unx.sas.com)
Date: Thu Mar 27 2003 - 10:39:09 EST

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    SN-009376 ***Alert Note***

    Correlations of the parameter estimates may be incorrect in PROC VARMAX

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

      The PRINT=(CORRB) option results in incorrect correlations of the
      parameter estimates for any VARMAX model except for the Error Correction
      Model.

      To obtain correct estimates, you can compute the correct correlations
      manually from the covariance matrix of the parameter estimates. Use the
      PRINT=(COVB) option to request the covariances and then compute the
      correct correlations as follows:

         CORR(i,j) = COV(i,j) / SQRT( COV(i,i) * COV(j,j) );

    Keywords:
      incorrstat incorrout parameter estimates correlation matrix var varmax
      correlations of the parameter estimates may be incorrect in proc varmax
      009376 9376

    SAS Note Revised On: Fri, 14 Feb 2003

    System Version Reported Version Fixed

    AIX 64 bit 8.2 TS2M0 9.1 TS1M0
    AIX/6000 8.1 TS1M0
    AIX/6000 8.2 TS2M0
    VM/ESA (CMS) 8.1 TS1M0
    VM/ESA (CMS) 8.2 TS2M0
    Compaq Tru64 UNIX 8.1 TS1M0 9.1 TS1M0
    Compaq Tru64 UNIX 8.2 TS2M0 9.1 TS1M0
    HP-UX Operating Systems 8.1 TS1M0
    HP-UX Operating Systems 8.2 TS2M0
    HP-UX 64 bit 8.2 TS2M0 9.1 TS1M0
    Intel ABI 8.1 TS1M0
    Intel ABI 8.2 TS2M0
    Linux 8.2 TS2M0 9.1 TS1M0
    MIPS ABI 8.1 TS1M0
    MIPS ABI 8.2 TS2M0
    OS/390 (MVS) 8.1 TS1M0 9.1 TS1M0
    OS/390 (MVS) 8.2 TS2M0 9.1 TS1M0
    IBM OS/2 8.1 TS1M0
    IBM OS/2 8.2 TS2M0
    Solaris 8.1 TS1M0
    Solaris 8.2 TS2M0
    Solaris 64 bit 8.2 TS2M0 9.1 TS1M0
    OpenVMS VAX 8.1 TS1M0
    OpenVMS VAX 8.2 TS2M0
    OpenVMS Alpha 8.1 TS1M0 9.1 TS1M0
    OpenVMS Alpha 8.2 TS2M0 9.1 TS1M0
    Windows NT 8.1 TS1M0 9.1 TS1M0
    Windows NT 8.2 TS2M0 9.1 TS1M0
    Windows 2000 Datacenter Server 8.1 TS1M0 9.1 TS1M0
    Windows 2000 Datacenter Server 8.2 TS2M0 9.1 TS1M0
    Windows 2000 Professional 8.1 TS1M0 9.1 TS1M0
    Windows 2000 Professional 8.2 TS2M0 9.1 TS1M0
    Windows 2000 Server and Advanced Server 8.1 TS1M0 9.1 TS1M0
    Windows 2000 Server and Advanced Server 8.2 TS2M0 9.1 TS1M0
    Windows 95 8.1 TS1M0
    Windows 95 8.2 TS2M0
    Windows 98 8.1 TS1M0
    Windows 98 8.2 TS2M0
    Windows ME 8.2 TS2M0
    Windows XP 8.2 TS2M0 9.1 TS1M0

    No Fixes Available

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