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 28.1.