The STATESPACE Procedure
The STATESPACE procedure provides automatic model selection, parameter estimation, and forecasting of state space models. (State space models encompass an alternative general formulation of multivariate ARIMA models.)
The features of the STATESPACE procedure include
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multivariate ARIMA modeling using the general state space representation of the stochastic process
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automatic model selection using the Akaike information criterion (AIC)
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user-specified state space models, including restrictions
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transfer function models with random inputs
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any combination of simple and seasonal differencing; input series can be differenced to any order for any lag lengths
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forecasts with confidence limits
You can save selected and fitted models in data sets to reuse for forecasting, and you can print statistics concerning the data and its covariance structure, the model selection process, and the final model fit.
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