The STATESPACE Procedure |

The following introductory example uses simulated data for two variables X and Y. The following statements generate the X and Y series.

data in; x=10; y=40; x1=0; y1=0; a1=0; b1=0; iseed=123; do t=-100 to 200; a=rannor(iseed); b=rannor(iseed); dx = 0.5*x1 + 0.3*y1 + a - 0.2*a1 - 0.1*b1; dy = 0.3*x1 + 0.5*y1 + b; x = x + dx + .25; y = y + dy + .25; if t >= 0 then output; x1 = dx; y1 = dy; a1 = a; b1 = b; end; keep t x y; run;

The simulated series X and Y are shown in Figure 25.1.

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