SAS Institute Alert Note SN-009419

From: SAS Technical Support (tsdlist@unx.sas.com)
Date: Thu Mar 27 2003 - 10:40:33 EST

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    SN-009419 ***Alert Note***

    Forecast output may be incorrect when exogenous variable is differenced

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

      If an exogenous variable for a VARX model is differenced by a greater
      number of lags than the number by which each endogenous variable is
      differenced, then the results in the OUT= data set and the ODS Forecasts
      table are incorrect.

      To circumvent the problem, perform the differencing of the exogenous
      variable in a DATA step prior to estimating the model with PROC VARMAX.

    Keywords:
      forecast incorrout incorrstat difference dif difx dify varmax varx
      exogenous endogenous
      forecast output may be incorrect when exogenous variable is differenced
      009419 9419

    SAS Note Revised On: Thu, 6 Mar 2003

    System Version Reported Version Fixed

    AIX 64 bit 8.2 TS2M0 9 TSM0
    AIX/6000 8 TSM1
    AIX/6000 8.1 TS1M0
    AIX/6000 8.2 TS2M0
    VM/ESA (CMS) 8 TSM1
    VM/ESA (CMS) 8.1 TS1M0
    VM/ESA (CMS) 8.2 TS2M0
    Compaq Tru64 UNIX 8 TSM1 9 TSM0
    Compaq Tru64 UNIX 8.1 TS1M0 9 TSM0
    Compaq Tru64 UNIX 8.2 TS2M0 9 TSM0
    HP-UX Operating Systems 8 TSM1
    HP-UX Operating Systems 8.1 TS1M0
    HP-UX Operating Systems 8.2 TS2M0
    HP-UX 64 bit 8.2 TS2M0 9 TSM0
    Intel ABI 8 TSM1
    Intel ABI 8.1 TS1M0
    Intel ABI 8.2 TS2M0
    Linux 8.2 TS2M0 9 TSM0
    MIPS ABI 8 TSM1
    MIPS ABI 8.1 TS1M0
    MIPS ABI 8.2 TS2M0
    OS/390 (MVS) 8 TSM1 9 TSM0
    OS/390 (MVS) 8.1 TS1M0 9 TSM0
    OS/390 (MVS) 8.2 TS2M0 9 TSM0
    IBM OS/2 8 TSM1
    IBM OS/2 8.1 TS1M0
    IBM OS/2 8.2 TS2M0
    Solaris 8 TSM1
    Solaris 8.1 TS1M0
    Solaris 8.2 TS2M0
    Solaris 64 bit 8.2 TS2M0 9 TSM0
    OpenVMS VAX 8 TSM1
    OpenVMS VAX 8.1 TS1M0
    OpenVMS VAX 8.2 TS2M0
    OpenVMS Alpha 8 TSM1 9 TSM0
    OpenVMS Alpha 8.1 TS1M0 9 TSM0
    OpenVMS Alpha 8.2 TS2M0 9 TSM0
    Windows NT 8 TSM1 9 TSM0
    Windows NT 8.1 TS1M0 9 TSM0
    Windows NT 8.2 TS2M0 9 TSM0
    Windows 2000 Datacenter Server 8 TSM1 9 TSM0
    Windows 2000 Datacenter Server 8.1 TS1M0 9 TSM0
    Windows 2000 Datacenter Server 8.2 TS2M0 9 TSM0
    Windows 2000 Professional 8 TSM1 9 TSM0
    Windows 2000 Professional 8.1 TS1M0 9 TSM0
    Windows 2000 Professional 8.2 TS2M0 9 TSM0
    Windows 2000 Server and Advanced Server 8 TSM1 9 TSM0
    Windows 2000 Server and Advanced Server 8.1 TS1M0 9 TSM0
    Windows 2000 Server and Advanced Server 8.2 TS2M0 9 TSM0
    Windows 95 8 TSM1
    Windows 95 8.1 TS1M0
    Windows 95 8.2 TS2M0
    Windows 98 8 TSM1
    Windows 98 8.1 TS1M0
    Windows 98 8.2 TS2M0
    Windows ME 8.2 TS2M0
    Windows XP 8.2 TS2M0 9 TSM0

    No Fixes Available

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