Hi @SAS_Illyrian  We did some further investigation, and our test confirmed that: (1). if you only specify P = option, and no Q = option is specified, then PROC VARMAX automatically forecasts future independent variables if they are not provided in the data set, using the same VAR model (the same order of P = option) for the dependent variables, then obtain forecast on the dependent variables using the thus forecasted independent variables for future periods ;   (2). if you specify Q = option(with or without P = option), then unfortunately the procedure does not automatically obtain forecasts if future independent variables are not provided in the data set, and issue the warning you observed in the log. This is a bug in the procedure and we are working on fix of this issue, so that in the future it will behave the same as when only p = is specified discussed in (1) above.    In the mean time, if you want future forecasts in case (2) then you may need to first forecast future independent variables yourself and save the future forecasts on the independent variables, then append the future forecasts to the end of the data. Then you can run PROC VARMAX on the appended data set to obtain future forecasts on the dependent variables.   I hope this helps. ... View more