Ok. So I actually identified a bug. From SAS "... [the] PROC QLIM developer ... confirmed that the behavior you are observing, that when Z1 = 1, Z2 = ., the procedure treats the missing value for Z2 as a different level, is indeed a defect in the procedure. The developer also confirmed that this defect has been fixed in the next release, SAS 9.4TS1M6. " ... View more

I've exactly done as you say, add 4 years more to my forecast sample and then I increase the ony independent variable making different scenarii. Also I leave dependent variable as missing but i have an error message. Could you tell me if Proc panel can produde forecasts or not?   Thank you. ... View more