The SSM Procedure (Experimental)

Functional Summary

Table 27.1 summarizes the statements and options that control the SSM procedure. Most commonly needed scenarios are listed; see the individual statements for additional details.

Table 27.1: Functional Summary

Description	Statement	Option
Data Set Options
Specifies the input data set	PROC SSM	DATA=
Writes series and component forecasts to an output data set	OUTPUT	OUT=
Model Specification Options
Specifies the index variable	ID
Defines variables as model parameters	PARMS
Specifies a response variable and the associated observation equation	MODEL
Specifies a state subsection	STATE
Specifies the transition matrix of a state subsection	STATE	T
Specifies the disturbance covariance matrix of a state subsection	STATE	COV
Specifies the size of the diffuse initial condition of a state subsection	STATE	A1
Specifies the initial covariance matrix of a state subsection	STATE	COV1
Specifies a state subsection for a predefined structural model	STATE	TYPE=
Specifies the input vector in a state equation	STATE	SINPUT=
Specifies a component	COMPONENT
Specifies a predefined trend component	TREND
Likelihood Optimization Process Control Options
Specifies the optimization technique	PROC SSM	OPTIMIZER(TECH=)
Limits the number of iterations	PROC SSM	OPTIMIZER(MAXITER=)
Outlier Detection Options
Turns on the search for additive outliers (AO)		Default
Specifies the significance level for additive outlier tests	OUTPUT	AO(AOALPHA= )
Limits the number of additive outliers	OUTPUT	AO(MAXNUM= )
limit the number of additive outliers to a percentage of the series length	OUTPUT	AO(MAXPCT= )
Turns on the search for maximal state shock	OUTPUT	MAXSHOCK
Graphical Residual and Outlier Analysis Options
Creates a panel of plots that consists of residual normality plots	PROC SSM	PLOTS=RESIDUAL(NORMAL)
Creates the standardized residual plot against time	PROC SSM	PLOTS=RESIDUAL(STD)
Creates a panel of plots that consists of prediction error normality plots	PROC SSM	PLOTS=AO(NORMAL)
Creates the standardized prediction error plot against time	PROC SSM	PLOTS=AO(STD)
Creates the plot of maximal state shock chi-square statistics against time	PROC SSM	PLOTS=MAXSHOCK
Output Control Options
Specifies the significance level of the forecast confidence limits	OUTPUT	ALPHA=
Prints the prediction error sum of squares table	OUTPUT	PRESS
Specifies a linear combination of components to be output	EVAL
Global Printing and Plotting Options
Turns off all printing for the procedure	PROC SSM	NOPRINT
Turns on all printing options for the procedure	PROC SSM	PRINTALL
Turns off all plotting for the procedure	PROC SSM	PLOTS=NONE
Turns on all plotting options for the procedure	PROC SSM	PLOTS=ALL
Printing State Equation System Matrix Options
Prints the transition matrix that is associated with a state subsection	STATE	PRINT=T
Prints the disturbance covariance matrix that is associated with a state subsection	STATE	PRINT=COV
Prints the initial covariance matrix that is associated with a state subsection	STATE	PRINT=COV1
Prints the autoregressive coefficient matrix that is associated with a state subsection	STATE	PRINT=AR
Prints the moving average coefficient matrix that is associated with a state subsection	STATE	PRINT=MA
Printing Component, Series Forecast, and Smoothed Estimate Options
Prints the series forecasts	MODEL	PRINT=FILTER
Prints the full-sample estimates of missing series values	MODEL	PRINT=SMOOTH
Prints the smoothed trend estimate	TREND	PRINT=SMOOTH
Prints the filtered trend estimate	TREND	PRINT=FILTER
Prints the smoothed component estimate	COMPONENT	PRINT=SMOOTH
Prints the filtered component estimate	COMPONENT	PRINT=FILTER
Prints the smoothed component estimate	EVAL	PRINT=SMOOTH
Prints the filtered component estimate	EVAL	PRINT=FILTER
BY Groups
Specifies BY-group processing	BY