Good evening all,   I am learning SAS as part of my Masters course.  I am guessing I may be trying to do something very stupid -- Econometrics is new to me, as well as SAS.  I may just need someone to tell me.  I tried searching but could not find anything.    I generated an ARMA(1,1) model (after running PROC ARIMA IDENTIFY with MINIC to work out the best option) with some data we were given for returns on the NY stock exchange.  I realise stock returns will never be perfect, and the data we have includes a bit of a crash in 2009, but anyway...  I wanted to try and improve on the model.  I don't see any lags that would indicate a yearly, or quarterly, lag option I should put in.  What I thought of doing was using an impulse intervention to handle the 2009 drop:   DATA TRAINING_ARIMA; SET TRAINING; Drop2009= (date >= '19FEB2009'd and date <= '05MAR2009'd); RUN;   However, whenever I try and forecast [I have 196 obs in my training set; 22 remaining in my test set]:   PROC ARIMA DATA=TRAINING_ARIMA; IDENTIFY VAR=NYSE CROSSCORR=(Drop2009); ESTIMATE P=(1) Q=(1) INPUT=(Drop2009); FORECAST OUT=FORECAST_ARIMA LEAD=22; RUN;   I get the warning message: Warning: More values of input variable Drop2009 are needed.          The value for option LEAD= has been reduced to 0.   and thus no forecasts.   Is this because I do not have enough "1" values for the Drop2009 column in my dataset (3 out of 196 currently as above; data is weekly)?  Or am I missing some option in my code I need?   Thanks for your time, Ian.   ... View more