The SSM Procedure (Experimental)

State space models are widely used in a variety of fields such as engineering, statistics, econometrics, and agriculture. There are numerous references that deal with state space modeling, particularly with the state space modeling of time series data. State space modeling of longitudinal data has received a little less attention. The primary reference for the modeling techniques implemented in the SSM procedure is Harvey (1989). It contains treatment of both the time series and longitudinal data. Other useful books about this subject are Durbin and Koopman (2001), Jones (1993), and Anderson and Moore (1979). Jones (1993) is exclusively devoted to the state space modeling of longitudinal data. In addition, the articles Wecker and Ansley (1983), Kohn and Ansley (1991), and de Jong and Mazzi (2001) are also quite informative. For the implementation details of the diffuse Kalman filter and smoother (the main computational tool used by the SSM procedure), the main references are a series of articles de Jong (1989, 1991), de Jong and Chu-Chun-Lin (2003), and the references therein.