Now-Casting the US Economy
/*--------------------------------------------------------------
SAS Sample Library
Name: ssmex14.sas
Description: Example program from SAS/ETS User's Guide,
The SSM Procedure
Title: Now-Casting the US Economy
Product: SAS/ETS Software
Keys: Multivariate Modeling, Factor Model
PROC: SSM
Notes:
--------------------------------------------------------------*/
data monthly;
input PAYEMS W875RX1 INDPRO CMRMTSPL @@;
date = intnx('month', '01mar1960'd, _n_-1);
format date date.;
ld_payemp = dif(log(PAYEMS));
ld_indpro = dif(log(INDPRO));
ld_pinc = dif(log(W875RX1));
ld_mnfctr = dif(log(CMRMTSPL));
datalines;
54458 2255.6 23.697 .
54812 2263.6 23.5092 .
54472 2269.4 23.4823 .
54347 2268.5 23.1871 .
54303 2270.9 23.1066 .
54272 2267.4 23.0798 .
54228 2268.8 22.8382 .
54144 2275.6 22.8114 .
53962 2261.8 22.4894 .
53743 2247.3 22.0599 .
53683 2268.6 22.0868 .
53556 2269 22.0599 .
53662 2279.8 22.1942 .
53626 2288.4 22.6504 .
53783 2300.9 22.9993 .
53977 2320.1 23.3213 .
54124 2325.8 23.5897 .
54299 2335.1 23.8043 .
54387 2339.9 23.7775 .
54521 2364.4 24.2337 .
54743 2386.7 24.6095 .
54871 2399 24.8242 .
54891 2394.7 24.6095 .
55187 2407.3 25.012 .
55276 2422.9 25.1462 .
55601 2437.3 25.1999 .
55626 2439.9 25.173 .
55644 2445.1 25.1194 .
55746 2455.5 25.3609 .
55838 2457.8 25.3877 .
55977 2460.7 25.5488 .
56041 2467.6 25.5756 .
56055 2481.7 25.6829 .
56027 2494.3 25.6829 .
56116 2488 25.8708 .
56231 2494.2 26.166 .
56322 2504.8 26.327 .
56580 2513 26.5686 .
56616 2522.4 26.8906 .
56658 2536.9 26.9711 .
56795 2537.9 26.8638 .
56910 2547.5 26.9174 .
57078 2564.6 27.1858 .
57284 2579.7 27.3737 .
57255 2585.1 27.5078 .
57360 2603.1 27.4542 .
57487 2604.2 27.6957 .
57752 2627.1 27.8836 .
57898 2639.4 27.8836 .
57923 2655.8 28.3398 .
58089 2672.9 28.5008 .
58221 2683.9 28.5813 .
58412 2695.1 28.7692 .
58620 2715.4 28.957 .
58903 2726.5 29.0644 .
58794 2728.4 28.6618 .
59217 2746.5 29.5475 .
59420 2772.8 29.8963 .
59583 2779.2 30.2184 .
59800 2793.9 30.4063 .
60003 2806.8 30.8088 .
60258 2818.8 30.943 .
60492 2836.1 31.1845 .
60690 2843.9 31.426 .
60963 2862.8 31.7212 .
61228 2878 31.8554 .
61490 2900.4 31.936 .
61718 2929.8 32.258 .
61997 2951.4 32.3922 .
62321 2966.9 32.7947 .
62528 2975.4 33.1168 .
62796 2988.5 33.3315 .
63191 3002.4 33.7877 .
63436 3003.6 33.8414 .
63711 3013.5 34.1634 .
64110 3031.4 34.3244 .
64301 3045.3 34.5123 .
64507 3053.3 34.5391 .
64645 3060.2 34.8612 .
64854 3075.1 35.1027 .
65019 3086.7 34.8612 .
65199 3082 34.9417 .
65407 3109.7 35.1065 334098.822
65427 3108.2 34.7083 332816.432
65530 3120.2 34.5127 335226.972
65467 3121.2 34.8382 335007.732
65618 3125.7 34.5343 334733.406
65750 3138 34.5299 337219.964
65887 3153.3 34.4513 335040.783
66142 3165.6 35.1114 339541.265
66163 3169 35.0543 340739.925
66225 3164.9 35.3398 338375.657
66703 3183.8 35.8452 347490.097
66900 3213 36.2313 355216.383
66805 3217.1 36.1923 351653.456
67214 3243 36.322 350545.136
67296 3258.6 36.4354 353153.984
67555 3270.7 36.4881 352453.297
67652 3289.7 36.8974 354923.329
67904 3304.5 37.033 357433.022
68126 3324.9 36.9762 360843.914
68328 3336 37.0794 354691.97
68487 3351.5 37.2198 359656.271
68720 3356.5 37.2937 364526.928
68985 3370.6 37.7761 367670.104
69245 3383 37.8954 364260.314
69438 3384.6 38.1246 364269.128
69698 3397.6 38.3686 364836.508
69906 3413.7 38.6695 366178.39
70072 3426.8 38.5272 367761.546
70328 3441 38.3816 367508.153
70636 3453.9 38.7565 367297.726
70730 3474.8 38.9612 367401.287
71005 3497.9 39.0507 371387.271
70918 3506.2 39.0419 373179.752
71119 3514 39.0534 377496.248
71088 3515.5 38.6852 372269.74
71240 3520.8 38.5814 371583.375
71176 3527.5 37.867 366900.009
71302 3532.2 37.842 367226.115
71453 3543.2 37.7929 362934.958
71348 3531 37.6957 361100.612
71122 3534.7 37.6518 365022.697
71028 3528 37.53 366484.665
71055 3555 37.6221 366875.772
70932 3563.3 37.5551 366706.109
70949 3562.6 37.2962 366069.321
70519 3537 36.5501 362260.712
70409 3534 36.3287 356180.379
70790 3540.9 37.163 367483.915
70866 3577.8 37.4489 371084.301
70805 3581.5 37.3775 373156.616
70859 3590.5 37.337 374704.517
71037 3602.7 37.5467 376742.679
71247 3616 37.7372 378582.534
71253 3615.5 37.8955 383781.499
71316 3621.5 37.7855 379361.442
71368 3642.3 37.5662 381745.541
71620 3646.3 38.1767 385182.873
71642 3662.6 38.4625 385449.487
71844 3680.8 38.6257 391966.097
72108 3709.7 39.0717 395625.975
72445 3728.7 40.0117 399808.063
72652 3747.4 40.3863 395492.668
72945 3766.7 40.6932 402820.136
73163 3785.1 41.1121 405556.782
73467 3798.8 41.0952 408054.356
73760 3806.8 41.2011 409834.718
73709 3833.9 41.1857 407289.77
74137 3872.4 41.7243 417053.117
74268 3890.2 42.042 424225.244
74672 3955.2 42.6136 430080.828
74965 3985.3 43.1166 438308.392
75270 4006.8 43.609 444154.061
75620 3985.8 43.9067 449811.338
76017 4000.3 44.5663 450514.229
76286 4000 44.5794 448715.138
76456 4013 44.5048 446858.758
76646 4026.3 44.7958 445426.536
76886 4041 44.8142 444537.456
76911 4056.6 45.0052 450595.755
77166 4041.6 44.9305 441284.109
77281 4066.2 45.3328 444330.335
77605 4104.3 45.6448 455727.517
77909 4114 45.8713 463099.053
78035 4103 45.7546 456900.837
78104 4056.9 45.428 457312.876
78253 4029.4 45.2944 455068.694
78295 4000.4 45.2926 456607.782
78384 3979.9 45.1762 453279.519
78547 3982.4 45.5011 455274.714
78602 3986.2 45.4698 453686.049
78634 3995.4 45.4636 452648.239
78619 3976.6 45.0367 448257.928
78614 3969.5 45.0701 444460.337
78627 3983.9 44.9004 436849.729
78259 3953.6 43.4215 432175.177
77657 3938.1 41.8828 419506.623
77297 3926.4 41.3274 418453.389
76919 3907.6 40.3683 415748.693
76649 3907.1 39.947 403260.82
76463 3904.6 39.9698 407300.787
76623 3924.1 39.8807 407207.142
76519 3930.5 40.1552 410868.122
76768 3930.7 40.5908 412908.487
77154 3963.1 40.9436 417752.702
77232 3975.7 41.4621 418753.054
77535 3992.1 41.6199 419264.247
77679 4001 41.7229 418649.494
78017 4000.7 42.2509 423083.873
78506 4022.6 42.872 433558.924
78817 4048.8 43.2761 435462.678
79049 4065.3 43.3203 438754.585
79293 4085.6 43.5819 440853.341
79311 4098.3 43.7805 440366.385
79376 4099.4 43.7814 445779.083
79546 4113.9 44.0401 446089.764
79704 4128.4 44.3343 447631.056
79892 4134.6 44.4697 448926.666
79905 4139.9 44.494 443629.648
80237 4173.3 45.1501 451005.591
80448 4181.1 45.6195 462689.217
80692 4157 45.3563 459671.635
80987 4173.5 46.0255 465921.632
81391 4196.3 46.5966 471557.976
81730 4224.3 47.0473 470987.291
82089 4250.4 47.4442 471284.752
82488 4265.6 47.7972 475536.248
82836 4284.8 47.8684 476830.756
83074 4297.7 47.889 477618.478
83532 4332 48.126 479372.399
83794 4382.3 48.2491 482962.869
84173 4410.4 48.2611 485169.593
84408 4432.2 48.3308 491599.168
84595 4413.5 47.6711 476548.719
84948 4436.2 47.9159 487477.674
85461 4463.2 48.8332 492372.568
86163 4497.4 49.8095 507289.71
86509 4498.1 49.9957 506807.162
86951 4523.8 50.3438 509616.52
87205 4532.9 50.3213 505417.906
87481 4552.5 50.5155 512009.432
87618 4563.9 50.6615 510840.519
87954 4588.8 51.073 515398.29
88391 4596 51.4378 517631.454
88674 4628.2 51.7286 520402.253
88811 4630.6 51.3846 514709.722
89054 4657 51.6782 512277.148
89480 4672.1 51.8417 527101.747
89418 4627.7 51.2822 512880.884
89790 4614 51.6752 524235.099
90108 4621.7 51.6881 518882.996
90214 4627.4 51.5907 518226.377
90296 4634.2 51.252 519126.474
90323 4639.2 51.3239 516195.927
90480 4645.8 51.6002 514653.534
90574 4662.7 51.5484 514848.537
90669 4677 51.5847 513344.704
90800 4670.4 51.8063 517690.947
90879 4651.2 51.847 512821.392
90991 4627.5 51.6878 501144.376
90846 4596 50.644 490415.932
90415 4580.1 49.3989 484137.291
90095 4584.3 48.7957 482743.629
89832 4570.6 48.4736 488834.98
90092 4590.5 48.6131 492358.246
90205 4611.8 49.3959 502728.634
90485 4684.9 50.0159 513227.923
90741 4712.2 50.8791 513569.453
90936 4731.7 51.18 514837.52
91031 4715.3 50.8967 517971.883
91098 4698.7 50.6602 515836.77
91202 4710.1 50.9233 510507.803
91276 4705.1 50.7052 510793.145
91286 4718.9 51.0166 507180.641
91482 4746.7 51.252 505842.064
91594 4794.7 51.5741 507005.469
91558 4816.2 51.5705 504975.019
91471 4815.2 51.2438 501501.33
91371 4803 50.8858 494686.157
91162 4805 50.3243 490862.124
90884 4802 49.7682 484507.466
90557 4787.9 48.7888 481958.111
90551 4804.9 49.7437 489651.346
90422 4800.2 49.3759 490042.453
90141 4827.1 48.948 490595.511
90096 4828.2 48.646 493120.628
89853 4806.9 48.4828 486129.182
89510 4793.6 48.3296 484255.174
89352 4799.3 47.9279 479815.286
89171 4790.5 47.7652 480741.824
88894 4786.1 47.3544 475794.048
88770 4790 47.1694 477089.658
88756 4818.9 46.8266 475778.624
88981 4817.6 47.7233 484857.809
88903 4817.5 47.4359 482815.24
89076 4836.1 47.8323 490912.803
89352 4842.1 48.4137 490867.633
89629 4871.3 48.7457 498495.867
90007 4877.6 49.0101 511303.237
90425 4907.5 49.7548 511031.115
90117 4908.7 50.2966 510196.019
91231 4944.3 51.0627 518003.832
91502 5001.6 51.4756 523679.838
91854 5033.8 51.6343 529053.975
92210 5081.2 51.8982 538852.577
92657 5104.1 52.9491 542335.08
93136 5142.6 53.2113 542043.127
93411 5176.3 53.4583 542506.946
93774 5212.6 53.7883 545512.409
94082 5227.5 54.0548 549822.295
94461 5271.9 54.2465 554712.782
94773 5288.5 54.4259 551750.286
95014 5326.3 54.4674 551611.471
95325 5375.7 54.3806 550931.716
95611 5352.7 54.3072 553243.102
95960 5381.8 54.5132 558154.522
96087 5407.7 54.5701 558822.158
96353 5402.7 54.4381 557426.292
96477 5407.4 54.6703 559324.537
96823 5431.7 54.7362 564220.533
97018 5422.7 54.6038 563642.135
97292 5431.2 54.6728 570171.966
97437 5452.3 54.7111 560741.335
97626 5451.4 54.332 561817.705
97819 5460.7 54.5721 572028.346
98023 5486.4 54.8033 573563.027
98210 5516 54.5836 568274.823
98419 5528.4 54.7706 572433.775
98587 5566.6 55.3344 569375.43
98710 5543.3 55.6058 577933.507
98817 5572.2 55.1999 574646.007
98910 5624.9 54.8525 575206.777
99098 5644.4 54.8901 586789.046
99223 5650.6 54.9861 581161.515
99130 5654.5 54.8093 584889.699
99448 5676.2 55.1631 588345.761
99561 5701 55.0442 589181.958
99907 5709.5 55.1398 603159.343
100094 5712.9 55.3932 594640.927
100280 5728.2 55.6496 592818.7
100484 5753.1 56.1365 605229.454
100655 5740.9 55.9547 586122.512
100887 5762 56.678 607264.311
101136 5779.4 56.7669 607847.115
101474 5777 57.1074 606102.008
101701 5808 57.498 605090.639
101872 5812.1 57.8001 608110.424
102218 5834.9 58.1706 613384.306
102388 5873.1 58.5913 610679.609
102617 5879.9 58.747 617409.951
103109 5920.1 59.638 616698.247
103340 5951.9 59.9544 614989.496
103634 6023.6 60.2339 620200.58
103728 5994.2 60.26 618784.884
104180 6021.6 60.5044 625778.534
104456 6025.3 60.6476 635801.884
104701 6050.4 60.9699 632392.094
104928 6056.5 60.9173 634377.374
105291 6080 61.0666 640596.523
105514 6110.7 61.1463 637998.692
105635 6126.5 61.4037 638367.765
105975 6137.6 61.193 640892.882
106243 6176.1 61.5135 645868.201
106582 6176.5 61.6195 648361.369
106871 6215.2 61.8878 656812.58
107133 6260.5 62.0475 657562.844
107391 6280.5 61.7888 650376.395
107583 6306.4 61.9629 646504.989
107756 6287.9 61.9874 652401.337
107874 6258.8 61.5734 649492.824
107991 6274.4 61.6115 647489.917
108030 6297.9 61.0181 640848.814
108077 6308.3 61.5467 657116.652
108326 6322.2 61.3895 652512.609
108437 6350.5 61.3233 646213.036
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108809 6362.7 61.8707 654147.546
109145 6364.7 61.4958 649037.818
109394 6388.3 62.0704 658681.079
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109650 6427.2 62.322 654884.589
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109822 6423.7 62.6427 661912.392
109776 6448.2 62.5518 658365.99
109570 6407.6 62.7296 664988.364
109484 6399 62.8545 652761.596
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109120 6357.3 61.1932 635593.661
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108692 6290.6 60.5331 635141.96
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108322 6305.9 60.3174 643912.667
108196 6302.3 60.924 649194.261
108286 6337.5 61.5212 646286.851
108236 6321.8 61.5051 654722.638
108255 6328.2 61.5969 651963.958
108289 6345.8 62.1338 654752.384
108305 6333.3 61.9979 655413.41
108248 6351.5 61.931 653291.518
108272 6395.6 61.7052 644974.715
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108257 6457.8 61.7969 659121.763
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108472 6483.4 62.7326 666184.82
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108659 6548.8 62.9521 667350.429
108731 6539 63.4965 676287.494
108872 6563.6 63.1787 665529.303
108909 6528 63.3148 674782.559
109088 6490.7 63.8104 677513.696
109227 6512.3 64.0769 678668.287
109440 6778.1 64.0921 689232.577
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109942 6567 64.6214 685710.412
110251 6624.8 64.816 689253.509
110519 6625.7 64.5884 690345.303
110693 6606.6 64.7227 696727.504
110992 6624.5 64.9215 693356.274
111154 6635.7 64.8955 696909.286
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111676 6589.1 65.6822 706118.474
111938 6609 65.948 709740.893
112250 6866.1 66.2804 711985.075
112519 6701.4 66.5468 712795.933
112722 6712 66.5809 719315.848
113188 6733.9 67.2653 731292.529
113538 6804.5 67.6227 727440.953
113869 6828.4 67.994 729201.485
114179 6815.8 68.446 735895.47
114541 6833.9 68.5541 732669.665
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115193 6874.3 69.1631 746724.169
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116094 6951.5 70.9458 764752.539
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117223 7048.7 71.5697 770764.566
117302 7071.3 71.2942 761652.329
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118229 7187 72.3593 778753.059
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119090 7286.2 74.0141 793215.196
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119928 7370.8 75.0932 801764.459
120127 7401.4 75.5821 804516.528
120347 7430.6 75.9835 806976.645
120594 7436.5 75.9867 813293.846
120893 7463 76.6111 819310.279
121061 7496.2 77.1026 813409.525
121293 7531.5 77.19 823900
121595 7568.4 78.1257 840042
121910 7603.9 78.726 840871
122201 7614.9 78.7613 842808
122461 7655 79.3048 842727
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123007 7725 80.1496 861915
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124148 7907.6 83.2123 872977
124452 7955.1 83.5079 870517
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124919 8095 83.9956 884007
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125954 8278.1 84.4407 888601
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126644 8366.7 85.5895 901547
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127119 8427 86.1935 912572
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127998 8492.3 87.2633 932062
128106 8499.2 87.4504 930482
128479 8494.9 87.6525 928953
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128955 8547.9 88.1345 942620
129248 8565.5 88.732 944097
129439 8603.7 89.1042 951552
129642 8604 88.8555 950147
130045 8666.6 89.992 957822
130336 8740.6 90.442 962461
130636 8821.7 91.1624 967665
130869 8923.1 91.2332 973830
130999 8963.6 91.5783 957324
131470 8991.4 91.9442 968167
131757 9027.4 92.5202 976522
131982 9031.4 92.6592 970616
131936 9070.2 92.7126 976860
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132104 9163.5 92.2519 971131
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132219 9177.1 92.2835 974326
132442 9178.7 92.2721 966963
132580 9174.7 91.978 974625
132548 9222.8 91.3166 967525
132617 9249.8 90.7666 971790
132588 9278.3 90.5202 960803
132307 9239.1 90.2684 953215
132266 9206.5 89.6126 961671
132140 9191.4 89.0137 948846
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131862 9191.3 88.3938 959677
131618 9191.3 88.1055 940545
131291 9159.3 87.6738 967071
130995 9163.7 87.2008 962196
130823 9170.9 87.2224 964791
130680 9172.5 87.76 979234
130545 9170 87.7249 981258
130523 9159.5 88.3748 975249
130440 9150.7 88.7446 986973
130434 9164.9 89.2026 989251
130486 9187.1 90.0745 991362
130394 9154.8 89.7723 990668
130380 9148.7 89.8958 998966
130322 9144.8 89.9425 990892
130446 9159.3 89.6446 987628
130453 9174.3 90.1355 995574
130291 9184.2 89.7289 988954
130380 9163 90.3564 994553
130222 9138.2 90.6904 983275
130007 9159.2 90.51 991919
129956 9206.5 89.7698 989477
129946 9282.6 89.7575 997656
129943 9315.3 89.7652 1006593
129963 9320.8 90.0817 1016212
129919 9330.4 89.9743 1011918
130024 9342.7 90.5213 1018477
130221 9399.9 90.4884 1020031
130234 9474.3 91.173 1021749
130353 9473.9 91.0979 1020629
130512 9458.8 91.3636 1015940
130555 9461.8 91.8804 1021109
130888 9493.3 91.388 1046552
131135 9527 91.7603 1035907
131441 9585.6 92.4272 1037416
131519 9594.1 91.6958 1036635
131556 9639.5 92.4141 1040068
131681 9661.2 92.5783 1047541
131836 9676.6 92.6156 1052640
132179 9687.9 93.5 1051835
132244 9664.4 93.6866 1055680
132372 10028.3 94.3195 1071023
132502 9724.7 94.7075 1075294
132742 9724.9 95.3015 1074561
132877 9757.9 95.2423 1067565
133239 9775.2 95.326 1083776
133407 9821.6 95.5 1081125
133653 9862.1 95.9 1091532
134025 9905.9 95.7684 1090839
134217 9903.3 95.8884 1093851
134282 9864.1 94.0153 1088628
134363 9925.7 95.184 1088698
134698 10002.2 96.1125 1100981
134856 10068.9 96.6602 1108901
135130 10193.3 96.754 1113201
135446 10264.1 96.8319 1116601
135726 10288.6 97.0741 1118408
135907 10285.9 97.4499 1108367
135928 10268.1 97.3416 1116669
136008 10289 97.7165 1113571
136218 10275.4 97.7638 1111853
136397 10270.1 97.966 1117624
136556 10347 97.837 1113413
136553 10426.6 97.7452 1115989
136758 10479.3 97.6316 1117627
136927 10507.3 98.6314 1133244
137161 10497.8 98.1608 1126250
137251 10532.8 99.2559 1133579
137437 10575.2 99.3295 1134048
137513 10587.1 100.0512 1132031
137654 10583.4 100.1109 1140565
137734 10578.9 100.1159 1136101
137699 10593.1 100.1435 1133462
137675 10592.5 100.2699 1145652
137752 10613.7 100.7148 1146560
137838 10593.3 100.2223 1149913
137949 10589 100.8053 1147748
138042 10622.5 100.82 1142148
138056 10641.4 100.4978 1146546
137971 10656.5 100.3008 1132020
137892 10670.5 100.0078 1116685
137677 10606 99.2273 1131060
137491 10561.7 98.7652 1121551
137322 10495.6 98.5639 1119917
137106 10455.2 98.1182 1102264
136836 10485.4 96.5457 1091918
136377 10466.7 92.4795 1063957
135905 10498.5 93.245 1052108
135130 10528.7 92.1643 1027024
134425 10418.9 89.5631 1021565
133631 10214.9 87.5481 1000331
132936 10059.2 86.9871 1004647
132106 9991.3 85.6509 985435
131402 9984.3 84.9332 978613
131050 9989.3 84.0667 977082
130578 9923.8 83.7572 974787
130227 9887.3 84.4816 990992
130017 9856.6 85.3714 990158
129784 9839.2 85.9532 990929
129614 9835.1 86.2231 994607
129593 9856.1 86.6394 1003005
129373 9874.2 87.0436 1007118
129360 9830.8 87.964 1001232
129320 9798.1 88.3021 1008448
129474 9817.4 88.9705 1020195
129703 9914.3 89.2674 1027769
130224 10000.2 90.6754 1026468
130094 10008.6 90.8744 1034509
130008 10034.4 91.4059 1045441
129971 10048 91.6491 1047270
129928 10048.2 91.8829 1048330
130156 10086.6 91.5685 1049678
130300 10121.7 91.8155 1055097
130395 10206.6 92.7225 1056460
130464 10386.3 92.6088 1067165
130660 10427.1 92.1748 1053497
130865 10413.5 93.1137 1067678
131169 10408 92.5765 1060989
131284 10412.1 92.9126 1056979
131493 10467.3 93.0774 1067378
131571 10523.9 93.6088 1071718
131703 10514.6 94.1212 1079070
131928 10484.3 94.2216 1070254
132094 10476.1 94.7474 1083468
132268 10452.3 94.9598 1079745
132498 10522.1 95.5239 1086347
132809 10596.9 96.1959 1087809
133080 10653.7 96.6672 1091060
133285 10664.5 96.1393 1091361
133397 10680.5 96.8572 1095126
133522 10680.4 97.1042 1101802
133609 10695.5 97.1322 1093590
133762 10675.9 97.5571 1102989
133927 10665.1 96.785 1099198
134065 10687.4 96.9549 1103022
134225 10723 96.8409 1099601
134472 10886.8 98.1118 1117999
134691 11269.4 98.1502 1120944
134839 10662 98.1693 1117429
135171 10778.3 98.826 1120133
135313 10830.2 99.0834 1114994
135512 10875.7 98.8036 1122262
135688 10894 98.9614 1135043
135860 10886.9 99.159 1132747
135949 10891.6 99.0082 1138004
136187 10928.5 99.4701 1140346
136350 10976.5 100.1183 .
136554 . 99.9778 .
. . . .
;
data quarterly;
input GDPC1 @@;
date = intnx('qtr', '01apr1960'd, _n_-1);
format date date.;
ld_gdp = dif(log(GDPC1));
datalines;
3108.4 3116.1 3078.4 3099.3 3156.9
3209.6 3274.6 3333.6 3369.5 3401.6
3414.8 3452.8 3497.8 3566.1 3591.5
3669.2 3712.9 3763.3 3776.6 3869.8
3922.7 4002.4 4096.7 4197.9 4215.1
4245.2 4281.6 4320.9 4324.7 4362.0
4397.1 4486.4 4562.2 4595.0 4615.4
4687.1 4702.1 4731.5 4711.0 4702.8
4711.1 4752.8 4703.9 4829.9 4857.4
4895.3 4909.5 4997.0 5112.7 5159.8
5245.5 5374.7 5435.6 5406.1 5456.5
5411.2 5425.4 5372.8 5351.4 5286.7
5327.4 5415.5 5488.5 5612.4 5654.8
5683.6 5726.2 5792.9 5906.6 6011.1
6011.7 6032.6 6267.2 6328.5 6413.3
6426.1 6433.9 6480.1 6496.8 6517.9
6385.7 6376.0 6494.1 6628.6 6580.2
6655.7 6578.0 6468.0 6503.3 6479.8
6486.2 6571.1 6721.1 6852.7 6994.0
7132.9 7258.2 7329.6 7388.1 7461.5
7529.9 7647.0 7704.4 7775.8 7811.5
7890.1 7931.0 7986.4 8076.1 8149.4
8283.8 8330.4 8440.5 8489.2 8601.6
8688.4 8756.7 8822.1 8840.7 8937.5
8972.1 8974.3 8897.8 8856.1 8924.9
8967.7 9006.8 9113.2 9213.7 9303.3
9396.5 9414.0 9469.9 9516.1 9643.1
9737.6 9870.7 9928.9 10041.6 10075.9
10111.1 10197.7 10270.1 10337.4 10517.9
10615.2 10727.4 10809.1 10972.2 11112.0
11198.2 11309.0 11418.7 11568.1 11757.9
11867.8 11967.7 12120.1 12329.8 12365.2
12598.7 12614.8 12682.0 12645.7 12712.8
12674.1 12705.2 12824.6 12894.7 12956.7
12962.9 13028.6 13151.8 13374.0 13525.7
13606.6 13710.7 13831.0 13947.7 14100.2
14177.2 14292.9 14372.0 14546.4 14591.6
14604.4 14718.4 14728.1 14841.5 14941.5
14996.1 14895.4 14969.2 14895.1 14574.6
14372.1 14356.9 14402.5 14540.2 14597.7
14738.0 14839.3 14942.4 14894.0 15011.3
15062.1 15242.1 15381.6 15427.7 15534.0
15539.6 15583.9 15679.7 15790.1
;
data weekly;
input ICSA @@;
date = intnx('week.7', '07jan1967'd, _n_-1); *week ends on Friday;
format date date.;
l_icsa = log(icsa);
datalines;
208000 207000 217000 204000 216000
229000 229000 242000 310000 241000
245000 247000 259000 257000 299000
245000 255000 254000 231000 230000
228000 248000 238000 224000 218000
209000 240000 241000 240000 209000
221000 202000 215000 213000 218000
231000 220000 209000 204000 231000
206000 223000 207000 222000 214000
198000 191000 196000 221000 204000
219000 216000 222000 222000 221000
198000 244000 210000 196000 193000
190000 204000 190000 200000 192000
191000 171000 183000 251000 209000
194000 199000 194000 199000 192000
194000 189000 194000 214000 186000
180000 205000 206000 218000 192000
193000 188000 189000 195000 191000
189000 185000 186000 191000 182000
181000 183000 192000 199000 162000
188000 195000 192000 223000 190000
191000 192000 193000 203000 197000
192000 192000 201000 191000 189000
181000 183000 182000 190000 187000
177000 177000 183000 179000 180000
187000 192000 182000 191000 203000
227000 210000 206000 192000 196000
203000 199000 199000 195000 182000
209000 195000 193000 193000 200000
199000 205000 198000 211000 197000
217000 202000 202000 222000 232000
223000 230000 242000 268000 256000
239000 256000 265000 271000 242000
262000 271000 264000 276000 273000
305000 374000 349000 334000 318000
303000 296000 301000 301000 298000
296000 291000 277000 288000 294000
287000 261000 266000 300000 303000
297000 324000 292000 325000 333000
350000 327000 334000 330000 327000
336000 314000 314000 337000 308000
306000 289000 321000 303000 288000
299000 312000 292000 296000 282000
268000 290000 297000 287000 291000
300000 299000 279000 284000 288000
290000 293000 284000 295000 299000
301000 295000 299000 291000 277000
264000 313000 304000 308000 349000
325000 320000 307000 359000 312000
302000 308000 299000 313000 299000
294000 283000 301000 295000 274000
278000 299000 280000 269000 244000
279000 295000 250000 263000 269000
276000 266000 258000 254000 257000
264000 266000 264000 258000 274000
259000 259000 265000 271000 266000
267000 267000 264000 268000 275000
286000 350000 297000 318000 276000
247000 250000 246000 256000 262000
258000 259000 258000 255000 251000
263000 250000 257000 234000 255000
242000 271000 235000 226000 252000
263000 246000 225000 226000 245000
229000 214000 228000 226000 216000
218000 225000 229000 228000 232000
222000 247000 230000 243000 236000
248000 238000 237000 238000 232000
246000 237000 242000 237000 248000
232000 241000 250000 256000 265000
258000 254000 242000 252000 245000
246000 249000 236000 246000 249000
235000 246000 282000 254000 233000
256000 266000 272000 326000 300000
269000 340000 321000 291000 302000
369000 311000 292000 301000 305000
315000 314000 323000 296000 297000
296000 283000 287000 296000 298000
309000 278000 314000 303000 308000
325000 311000 304000 303000 320000
335000 347000 332000 343000 350000
350000 357000 370000 366000 371000
413000 389000 414000 406000 441000
449000 518000 474000 528000 510000
521000 537000 456000 554000 575000
555000 559000 545000 530000 544000
546000 551000 531000 550000 555000
537000 520000 531000 513000 505000
507000 514000 493000 475000 529000
497000 497000 459000 423000 446000
445000 454000 454000 459000 444000
457000 446000 447000 456000 433000
445000 426000 429000 404000 426000
414000 415000 386000 401000 387000
373000 368000 365000 391000 362000
402000 370000 363000 359000 353000
344000 347000 349000 348000 360000
368000 366000 380000 373000 361000
367000 385000 395000 382000 394000
402000 382000 407000 399000 387000
394000 372000 406000 394000 388000
378000 382000 400000 394000 421000
383000 403000 423000 408000 411000
403000 409000 414000 390000 383000
408000 377000 402000 395000 365000
333000 380000 416000 368000 423000
422000 565000 477000 399000 362000
361000 355000 369000 356000 350000
376000 361000 375000 375000 384000
381000 375000 381000 363000 358000
359000 365000 350000 361000 366000
365000 365000 378000 359000 367000
365000 374000 359000 362000 380000
348000 365000 358000 375000 349000
366000 334000 360000 354000 367000
364000 359000 344000 364000 346000
343000 352000 363000 360000 373000
429000 371000 355000 359000 347000
335000 333000 345000 309000 319000
324000 334000 322000 334000 318000
310000 331000 326000 330000 348000
356000 352000 349000 346000 365000
354000 343000 333000 313000 337000
322000 323000 318000 343000 316000
338000 316000 317000 304000 342000
359000 377000 344000 347000 352000
358000 359000 392000 337000 342000
348000 359000 367000 360000 355000
363000 359000 353000 360000 465000
457000 383000 357000 353000 344000
346000 349000 336000 365000 351000
379000 369000 368000 368000 395000
386000 412000 386000 387000 390000
389000 378000 384000 388000 390000
412000 393000 406000 398000 395000
414000 430000 414000 416000 415000
411000 471000 428000 394000 405000
446000 412000 404000 425000 415000
428000 409000 418000 432000 435000
475000 464000 544000 548000 563000
572000 601000 642000 627000 637000
610000 592000 599000 627000 579000
533000 567000 558000 569000 533000
525000 512000 502000 511000 492000
465000 463000 462000 447000 425000
418000 419000 407000 427000 398000
412000 416000 413000 412000 399000
410000 419000 421000 396000 419000
420000 423000 438000 434000 409000
408000 401000 412000 417000 396000
392000 436000 413000 423000 414000
415000 417000 428000 425000 435000
444000 460000 426000 430000 407000
476000 448000 442000 434000 451000
473000 454000 475000 491000 489000
491000 487000 483000 514000 514000
517000 464000 552000 558000 551000
539000 556000 495000 545000 489000
564000 583000 556000 507000 544000
528000 556000 539000 557000 574000
578000 585000 597000 588000 576000
584000 585000 586000 588000 611000
614000 591000 582000 600000 572000
567000 536000 605000 606000 637000
628000 647000 651000 641000 680000
671000 695000 651000 656000 623000
637000 589000 599000 577000 612000
557000 533000 516000 489000 534000
510000 479000 479000 503000 501000
486000 487000 481000 495000 475000
470000 481000 491000 496000 515000
488000 490000 494000 464000 460000
454000 459000 442000 434000 442000
422000 412000 396000 395000 415000
415000 457000 445000 426000 411000
403000 405000 416000 413000 406000
394000 394000 404000 395000 390000
387000 398000 365000 368000 362000
377000 372000 356000 351000 333000
364000 342000 338000 334000 343000
347000 346000 349000 346000 341000
381000 357000 364000 375000 365000
368000 354000 354000 355000 369000
361000 362000 360000 366000 360000
357000 359000 382000 380000 401000
395000 385000 402000 393000 395000
402000 403000 410000 439000 425000
423000 393000 383000 429000 401000
383000 386000 379000 379000 369000
387000 359000 368000 386000 401000
390000 390000 374000 385000 386000
373000 386000 405000 411000 391000
386000 390000 394000 391000 396000
393000 403000 390000 386000 390000
395000 386000 370000 362000 407000
402000 399000 405000 409000 426000
408000 401000 399000 405000 400000
400000 418000 398000 397000 397000
382000 393000 399000 382000 370000
390000 362000 397000 364000 344000
364000 366000 358000 390000 375000
366000 382000 387000 396000 381000
388000 383000 391000 392000 395000
384000 386000 373000 375000 369000
367000 371000 371000 361000 354000
362000 416000 416000 407000 397000
401000 400000 394000 399000 389000
391000 387000 385000 370000 364000
349000 368000 369000 366000 363000
375000 350000 345000 323000 348000
341000 346000 370000 368000 338000
341000 348000 337000 335000 335000
326000 330000 338000 349000 328000
330000 315000 341000 343000 326000
328000 316000 319000 326000 326000
317000 310000 324000 348000 327000
319000 312000 322000 316000 297000
309000 317000 301000 308000 301000
301000 289000 297000 307000 317000
306000 319000 317000 323000 316000
315000 325000 361000 335000 342000
318000 311000 327000 319000 307000
304000 307000 304000 309000 313000
314000 312000 313000 309000 314000
319000 313000 310000 305000 311000
307000 305000 303000 315000 354000
331000 316000 312000 316000 315000
306000 305000 306000 301000 292000
292000 293000 286000 294000 285000
284000 294000 299000 298000 285000
293000 286000 304000 299000 283000
282000 295000 288000 322000 305000
300000 325000 325000 319000 319000
323000 314000 307000 304000 311000
320000 332000 321000 325000 325000
332000 337000 338000 349000 341000
349000 332000 337000 338000 341000
327000 332000 329000 336000 334000
334000 347000 407000 345000 347000
354000 333000 336000 336000 342000
344000 338000 355000 381000 358000
355000 369000 375000 345000 368000
367000 348000 350000 351000 349000
349000 331000 346000 367000 357000
360000 363000 354000 355000 353000
359000 368000 359000 359000 362000
364000 362000 367000 370000 369000
369000 381000 393000 394000 392000
390000 395000 389000 404000 404000
422000 435000 440000 430000 448000
447000 462000 451000 449000 447000
474000 454000 415000 437000 445000
462000 483000 480000 474000 499000
488000 499000 498000 509000 499000
452000 477000 478000 462000 451000
446000 448000 443000 432000 441000
429000 423000 418000 422000 420000
408000 423000 438000 437000 433000
425000 425000 424000 418000 419000
437000 424000 425000 419000 423000
447000 453000 439000 444000 444000
475000 475000 436000 441000 432000
440000 443000 441000 440000 445000
446000 436000 444000 421000 437000
440000 420000 412000 413000 424000
424000 431000 417000 414000 414000
411000 416000 420000 419000 420000
407000 408000 392000 564000 423000
406000 401000 398000 408000 416000
416000 427000 409000 398000 374000
385000 367000 365000 374000 377000
357000 341000 350000 359000 334000
313000 341000 354000 352000 341000
340000 319000 321000 351000 362000
354000 346000 338000 366000 365000
353000 351000 350000 343000 339000
345000 342000 349000 343000 343000
345000 340000 334000 314000 335000
415000 356000 346000 339000 342000
337000 334000 333000 346000 343000
333000 355000 359000 354000 348000
350000 341000 336000 337000 337000
334000 331000 290000 341000 343000
355000 351000 406000 361000 354000
352000 327000 348000 341000 332000
322000 342000 349000 354000 331000
344000 371000 360000 357000 348000
345000 338000 336000 341000 334000
341000 359000 345000 332000 338000
335000 331000 341000 339000 331000
326000 325000 330000 341000 335000
330000 331000 328000 329000 326000
329000 324000 329000 330000 314000
319000 338000 347000 325000 324000
324000 348000 343000 336000 339000
347000 343000 332000 335000 347000
355000 349000 365000 364000 366000
377000 374000 362000 367000 378000
358000 355000 372000 389000 390000
351000 351000 353000 362000 359000
355000 371000 376000 353000 355000
374000 369000 366000 377000 380000
370000 379000 379000 373000 346000
373000 374000 359000 361000 333000
415000 387000 374000 387000 383000
365000 368000 361000 384000 426000
393000 369000 357000 368000 343000
338000 352000 345000 343000 340000
351000 342000 341000 337000 342000
347000 332000 327000 326000 331000
336000 337000 329000 333000 338000
352000 348000 335000 334000 335000
352000 334000 327000 342000 347000
332000 355000 352000 350000 357000
347000 324000 345000 340000 333000
315000 313000 322000 321000 317000
319000 315000 325000 325000 330000
316000 337000 342000 318000 322000
316000 321000 329000 335000 316000
322000 346000 328000 301000 306000
320000 329000 343000 327000 332000
313000 314000 317000 317000 311000
305000 318000 306000 313000 308000
325000 309000 318000 317000 323000
310000 303000 312000 331000 341000
307000 315000 311000 321000 327000
317000 308000 319000 321000 312000
312000 304000 317000 311000 304000
306000 315000 309000 322000 306000
321000 349000 376000 362000 320000
315000 335000 327000 316000 308000
302000 310000 313000 304000 305000
294000 302000 316000 318000 309000
308000 316000 334000 304000 310000
326000 305000 297000 336000 331000
345000 339000 311000 305000 291000
312000 302000 301000 300000 308000
305000 298000 310000 319000 314000
291000 296000 310000 301000 298000
303000 303000 290000 292000 291000
287000 288000 309000 306000 300000
295000 292000 286000 290000 290000
281000 281000 306000 309000 291000
287000 280000 285000 282000 281000
276000 288000 287000 272000 287000
268000 286000 298000 289000 284000
285000 312000 300000 283000 280000
286000 270000 271000 272000 266000
268000 259000 274000 291000 293000
276000 280000 280000 290000 284000
294000 296000 281000 293000 303000
300000 298000 306000 315000 318000
312000 301000 309000 311000 288000
292000 309000 299000 295000 301000
331000 318000 332000 356000 338000
321000 354000 364000 353000 337000
318000 343000 362000 376000 365000
358000 386000 384000 393000 393000
378000 388000 398000 383000 400000
406000 381000 390000 402000 405000
406000 411000 394000 381000 394000
401000 405000 398000 388000 401000
394000 402000 395000 402000 408000
395000 453000 517000 476000 482000
482000 483000 440000 428000 431000
491000 465000 393000 389000 416000
421000 397000 418000 405000 414000
404000 397000 397000 398000 392000
399000 392000 415000 479000 445000
442000 416000 414000 409000 413000
411000 403000 378000 388000 396000
388000 386000 391000 384000 379000
390000 388000 389000 399000 398000
394000 416000 412000 401000 409000
404000 405000 412000 409000 405000
400000 389000 390000 377000 425000
429000 394000 409000 393000 378000
402000 407000 413000 390000 420000
421000 436000 424000 430000 411000
436000 417000 434000 450000 444000
428000 417000 425000 419000 431000
429000 421000 408000 429000 433000
412000 403000 398000 401000 404000
398000 391000 407000 422000 394000
379000 387000 386000 376000 387000
379000 363000 371000 370000 354000
357000 367000 363000 354000 349000
356000 354000 362000 353000 376000
380000 356000 359000 348000 344000
338000 346000 340000 335000 355000
364000 339000 324000 329000 349000
342000 337000 355000 339000 354000
348000 326000 345000 355000 348000
341000 336000 332000 343000 352000
326000 331000 341000 351000 335000
338000 327000 338000 332000 330000
337000 313000 335000 343000 316000
322000 320000 356000 369000 332000
329000 331000 307000 308000 318000
314000 333000 324000 329000 342000
335000 323000 307000 317000 334000
327000 321000 320000 340000 338000
333000 321000 311000 327000 338000
323000 318000 316000 311000 319000
315000 318000 326000 422000 424000
359000 384000 383000 348000 324000
322000 325000 309000 324000 311000
321000 327000 312000 320000 302000
326000 285000 290000 282000 289000
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data rec;
input recession @@;
date = intnx('day', '01mar1960'd, _n_-1);
format date date.;
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;
data econ;
merge rec weekly monthly quarterly;
by date;
run;
ods output NamedParameterEstimates = named;
proc ssm data=econ opt(tech=activeset);
id date interval=day;
parms beta2-beta6;
parms lv1-lv8;
avar = exp(lv7);
wnv1 = exp(lv1); wnv2 = exp(lv2);
wnv3 = exp(lv3); wnv4 = exp(lv4);
wnv5 = exp(lv5); wnv6 = exp(lv6);
tvar = exp(lv8);
zero = 0;
/* --- start of model spec ----*/
state latent(2) t(g)=(1 1 0 1) cov(d)=(zero avar);
comp c1 = latent[1];
comp c2 = (beta2)*latent[1];
comp c3 = (beta3)*latent[1];
comp c4 = (beta4)*latent[1];
comp c5 = (beta5)*latent[1];
comp c6 = (beta6)*latent[1];
irregular w1 variance=wnv1;
int1 = 1;
model ld_payemp = int1 c1 w1;
irregular w2 variance=wnv2;
int2 = 1;
model ld_pinc = int2 c2 w2;
irregular w3 variance=wnv3;
int3 = 1;
model ld_mnfctr = int3 c3 w3;
irregular w4 variance=wnv4;
int4 = 1;
model ld_indpro = int4 c4 w4;
irregular w5 variance=wnv5;
int5 = 1;
model ld_gdp = int5 c5 w5;
irregular w6 variance=wnv6 ;
trend t_icsa(ll) levelvar=0 slopevar=tvar;
model l_icsa = c6 t_icsa w6;
/* ---model spec done----*/
eval icsaPattern = c6 + t_icsa;
/*--index is a scaled version of the common factor--*/
eval Index = 1000*c1;
comp slope = latent[2];
eval IndexSlope = 1000*slope;
/*--just so recession is output to the output data set--*/
rec = recession;
output out=forecast1 press pdv;
run;
proc sgplot data=forecast1;
title "Economic Activity Index";
title2 "(NBER Recessionary Periods Are Shaded)";
block x=date block=recession /
filltype=alternate fillattrs=(color=white transparency=0.2);
series x=date y=smoothed_index;
refline 0 / lineattrs=(pattern=dash);
run;
proc sgplot data=forecast1;
title "Slope of the Economic Activity Index";
title2 "(NBER Recessionary Periods Are Shaded)";
block x=date block=recession /
filltype=alternate fillattrs=(color=white transparency=0.2);
series x=date y=smoothed_indexSlope;
refline 0 / lineattrs=(pattern=dash);
run;
title "The Estimated Loadings";
proc print data=named(obs=5) noobs;
var parameter estimate stdErr;
run;