The STATESPACE Procedure

Overview: STATESPACE Procedure

The STATESPACE procedure uses the state space model to analyze and forecast multivariate time series. The STATESPACE procedure is appropriate for jointly forecasting several related time series that have dynamic interactions. By taking into account the autocorrelations among all the variables in a set, the STATESPACE procedure can give better forecasts than methods that model each series separately.

By default, the STATESPACE procedure automatically selects a state space model appropriate for the time series, making the procedure a good tool for automatic forecasting of multivariate time series. Alternatively, you can specify the state space model by giving the form of the state vector and the state transition and innovation matrices.

The methods used by the STATESPACE procedure assume that the time series are jointly stationary. Nonstationary series must be made stationary by some preliminary transformation, usually by differencing. The STATESPACE procedure enables you to specify differencing of the input data. When differencing is specified, the STATESPACE procedure automatically integrates forecasts of the differenced series to produce forecasts of the original series.