If the METHOD=ITYW, NLAG=n with n>0, and ITPRINT options are specified in the MODEL statement in PROC AUTOREG, the following messages might be issued in the log:

ERROR: An exception has been encountered. 
Please contact technical support and provide them with the following traceback information:
The SAS task name is [AUTOREG]
ERROR: Read Access Violation AUTOREG

Exception occurred at (1001C039)
Task Traceback

The procedure might also complete and produce estimation results in the output despite the error. If the OUTEST= option is specified in the PROC AUTOREG statement, correct results are saved in the output data set. If an OUTPUT statement is specified, the output data set that is created is empty.

To avoid this problem, remove the ITPRINT option.