While testing that I could return results from DMX via OpenQuery, I ran a basic DMX statement to return results from a time series model:

SELECT * FROM OpenQuery (SSAS,'SELECT FLATTENED
  [Forecasting].[Model Region],
  (PredictTimeSeries([Forecasting].[Amount],3)) as [Amount],
   True as [Predicted]
FFrom
  [Forecasting]')

Doing so returned this error message:

   OLE DB provider "MSOLAP" for linked server "SSAS" returned message "Error (Data mining): The '\\?\C:\Program Files\Microsoft SQL Server\MSAS10_50.MSSQLSERVER\OLAP\Data\Adventure Works DW 2008R2.0.db\Forecasting.0.dms\Forecasting.0.dmm\0.Forecasting.cnt.bin' persisted file cannot be found.".
Msg 7321, Level 16, State 2, Line 1
An error occurred while preparing the query "SELECT FLATTENED
  [Forecasting].[Model Region],
  (PredictTimeSeries([Forecasting].[Amount],3)) as [Amount],
   True as [Predicted]
From
  [Forecasting]" for execution against OLE DB provider "MSOLAP" for linked server "SSAS".

Problem? Stupid user trick – I hadn’t processed the model.  I was surprised to find that this error message couldn’t be found via Bing/Google, however. So here’s a little entry to save someone else some time.

Cheers.