The STATESPACE Procedure

FORM Statement

FORM variable value … ;

The FORM statement specifies the number of times a variable is included in the state vector. Values can be specified for any variable listed in the VAR statement. If a value is specified for each variable in the VAR statement, the state vector for the state space model is entirely specified, and automatic selection of the state space model is not performed.

The FORM statement forces the state vector, ${\mb {z}_{t}}$, to contain a specific variable a given number of times. For example, if Y is one of the variables in ${\mb {x}_{t}}$, then the statement

   form y 3;

forces the state vector to contain ${Y_{t}, Y_{t+1|t}}$, and ${Y_{t+2|t}}$, possibly along with other variables.

The following statements illustrate the use of the FORM statement:

   proc statespace data=in;
      var x y;
      form x 3 y 2;

These statements fit a state space model with the following state vector:

\[  \mb {z_{t}} = \left[\begin{matrix}  x_{t|t}   \\ y_{t|t}   \\ x_{t+1|t}   \\ y_{t+1|t}   \\ x_{t+2|t}   \end{matrix}\right]  \]