The standard errors of the parameter estimates associated with the nonstationary exogenous variables in PROC VARMAX might be incorrect under the following conditions:
The t-statistics and p-values associated with the parameter estimates for the exogenous variables in the model should be interpreted with caution.
Note that the parameter estimates for all terms in the model are correct. Therefore, the forecasts and confidence limits computed by the OUTPUT statement and written to the OUT= data set are also correct. Also note that if the ECM= option is specified and more than one dependent variable is included in the model, then the standard errors associated with the nonstationary exogenous variables are correct. The problem occurs only when there is a single dependent variable specified in the Error Correction Model equation.
There is no circumvention for this problem.