The SSM Procedure

Overview of Model Specification Syntax

Subsections:

An SSM specification involves the description of the terms in the observation equation, the state transition equation, and the initial condition. For example, the response variables, the predictor variables, and the elements of the state transition matrix $\mb {T}_{t}$ must somehow be specified. The SSM procedure syntax is designed so that little effort is needed to specify the more commonly needed models, while a highly flexible language is available for specifying more complex models. Two syntax features help achieve this goal: the ability to build a complex specification by combining simpler subspecifications, and a programming language for creating lists of variables to be used later in the model specification.

The SSM procedure statements can be divided into two classes:

programming statements, which are used to create lists of variables that can be used for a variety purposes (for example, as the elements of the model system matrices)
statements specific to the SSM procedure that formulate the state space model and control its other aspects such as the input data specification and the resulting output

Since the matrices involved in the model specification can be specified as lists of variables, which you separately create by using the programming statements, you can finely control all aspects of the model specification. These programming statements permit the use of most DATA step language features such as the conditional logic (IF-THEN-ELSE), array type variables, and all the mathematical functions available in the DATA step. You can also use programming statements to define predictor variables on the fly.