The UCM Procedure |
LEVEL Statement |
If the slope component is present, signified by the presence of a SLOPE statement, a locally linear trend (LLT) is obtained. The equations of LLT are as follows:
In either case, the options in the LEVEL statement are used to specify the value of and to request forecasts of . The SLOPE statement is used for similar purposes in the case of slope . The following examples illustrate the use of the LEVEL statement. Assuming that a SLOPE statement is not added subsequently, a simple random walk trend is specified by the following statement:
level;
The following statements specify a locally linear trend with value of fixed at 4. It also requests printing of filtered values of . The value of , the disturbance variance in the slope equation, is estimated from the data.
level variance=4 noest print=filter; slope;
turns on the checking of breaks in the level component.
fixes the value of to the value specified in the VARIANCE= option.
requests plotting of the filtered or smoothed estimate of the level component.
requests printing of the filtered or smoothed estimate of the level component.
specifies an initial value for , the disturbance variance in the equation at the start of the parameter estimation process. Any nonnegative value, including zero, is an acceptable starting value.
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