SAS Institute Alert Note SN-009409

From: SAS Technical Support (tsdlist@unx.sas.com)
Date: Thu Mar 27 2003 - 10:43:19 EST

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    SN-009409 ***Alert Note***

    Prediction error covariance output incorrect when model includes
    exogenous variable

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

      The output generated by the COVPE option on the MODEL statement in PROC
      VARMAX is incorrect if an exogenous variable is specified on the
      right-hand-side of the MODEL statement equation and an OUTPUT statement
      is not specified. The output generated by the DECOMPOSE option is
      incorrect if an exogenous variable is specified on the right-hand-side
      of the MODEL statement equation, regardless of whether the OUTPUT
      statement is specified.

      Note that if exogenous variables are specified only via the TREND=
      or NSEASON= option, the output from COVPE and DECOMPOSE is correct.

      To obtain the correct COVPE output for a model which includes an
      exogenous variable on the right-hand-side of the MODEL statement
      equation, make sure an OUTPUT statement is also specified.

      There is no circumvention to obtain the correct output for the DECOMPOSE
      option.

    Keywords:
      covpe decompose exogenous variable incorrout incorrstat
      decompcovprederror proportiondecomp covprederror table proportion
      prediction error covariance matrices decomposition
      prediction error covariance output incorrect when model includes
      exogenous variable
      009409 9409

    SAS Note Revised On: Thu, 6 Mar 2003

    System Version Reported Version Fixed

    AIX 64 bit 8.2 TS2M0 9 TSM0
    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 TSM0
    Compaq Tru64 UNIX 8.2 TS2M0 9 TSM0
    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 8.1 TS1M0
    Intel ABI 8.2 TS2M0
    Linux 8.2 TS2M0 9 TSM0
    MIPS ABI 8.1 TS1M0
    MIPS ABI 8.2 TS2M0
    OS/390 (MVS) 8.1 TS1M0 9 TSM0
    OS/390 (MVS) 8.2 TS2M0 9 TSM0
    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 TSM0
    OpenVMS VAX 8.1 TS1M0
    OpenVMS VAX 8.2 TS2M0
    OpenVMS Alpha 8.1 TS1M0 9 TSM0
    OpenVMS Alpha 8.2 TS2M0 9 TSM0
    Windows NT 8.1 TS1M0 9 TSM0
    Windows NT 8.2 TS2M0 9 TSM0
    Windows 2000 Datacenter Server 8.1 TS1M0 9 TSM0
    Windows 2000 Datacenter Server 8.2 TS2M0 9 TSM0
    Windows 2000 Professional 8.1 TS1M0 9 TSM0
    Windows 2000 Professional 8.2 TS2M0 9 TSM0
    Windows 2000 Server and Advanced Server 8.1 TS1M0 9 TSM0
    Windows 2000 Server and Advanced Server 8.2 TS2M0 9 TSM0
    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 TSM0

    No Fixes Available

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