The STATESPACE Procedure
Table 28.1 summarizes the statements and options used by PROC STATESPACE.
Table 28.1: STATESPACE Functional Summary
|
Description |
Statement |
Option |
|---|---|---|
|
Input Data Set Options |
||
|
specify the input data set |
PROC STATESPACE |
DATA= |
|
prevent subtraction of sample mean |
PROC STATESPACE |
NOCENTER |
|
specify the ID variable |
ID |
|
|
specify the observed series and differencing |
VAR |
|
|
Options for Autoregressive Estimates |
||
|
specify the maximum order |
PROC STATESPACE |
ARMAX= |
|
specify maximum lag for autocovariances |
PROC STATESPACE |
LAGMAX= |
|
output only minimum AIC model |
PROC STATESPACE |
MINIC |
|
specify the amount of detail printed |
PROC STATESPACE |
PRINTOUT= |
|
write preliminary AR models to a data set |
PROC STATESPACE |
OUTAR= |
|
Options for Canonical Correlation Analysis |
||
|
print the sequence of canonical correlations |
PROC STATESPACE |
CANCORR |
|
specify upper limit of dimension of state vector |
PROC STATESPACE |
DIMMAX= |
|
specify the minimum number of lags |
PROC STATESPACE |
PASTMIN= |
|
specify the multiplier of the degrees of freedom |
PROC STATESPACE |
SIGCORR= |
|
Options for State Space Model Estimation |
||
|
specify starting values |
INITIAL |
|
|
print covariance matrix of parameter estimates |
PROC STATESPACE |
COVB |
|
specify the convergence criterion |
PROC STATESPACE |
DETTOL= |
|
specify the convergence criterion |
PROC STATESPACE |
PARMTOL= |
|
print the details of the iterations |
PROC STATESPACE |
ITPRINT |
|
specify an upper limit of the number of lags |
PROC STATESPACE |
KLAG= |
|
specify maximum number of iterations allowed |
PROC STATESPACE |
MAXIT= |
|
suppress the final estimation |
PROC STATESPACE |
NOEST |
|
write the state space model parameter estimates to an output data set |
PROC STATESPACE |
OUTMODEL= |
|
use conditional least squares for final estimates |
PROC STATESPACE |
RESIDEST |
|
specify criterion for testing for singularity |
PROC STATESPACE |
SINGULAR= |
|
Options for Forecasting |
||
|
start forecasting before end of the input data |
PROC STATESPACE |
BACK= |
|
specify the time interval between observations |
PROC STATESPACE |
INTERVAL= |
|
specify multiple periods in the time series |
PROC STATESPACE |
INTPER= |
|
specify how many periods to forecast |
PROC STATESPACE |
LEAD= |
|
specify the output data set for forecasts |
PROC STATESPACE |
OUT= |
|
print forecasts |
PROC STATESPACE |
|
|
Options to Specify the State Space Model |
||
|
specify the state vector |
FORM |
|
|
specify the parameter values |
RESTRICT |
|
|
BY Groups |
||
|
specify BY-group processing |
BY |
|
|
Printing |
||
|
suppresses all printed output |
NOPRINT |
|