Forecast output may be incorrect when exogenous variable is differenced


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.