The STATESPACE Procedure

OUT= Data Set

The forecasts are contained in the output data set specified by the OUT= option in the PROC STATESPACE statement. The OUT= data set contains the following variables:

  • the BY variables

  • the ID variable

  • the VAR statement variables. These variables contain the actual values from the input data set.

  • FORi, numeric variables that contain the forecasts. The variable FORi contains the forecasts for the ith variable in the VAR statement list. Forecasts are one-step-ahead predictions until the end of the data or until the observation specified by the BACK= option.

  • RESi, numeric variables that contain the residual for the forecast of the ith variable in the VAR statement list. For forecast observations, the actual values are missing and the RESi variables contain missing values.

  • STDi, numeric variables that contain the standard deviation for the forecast of the ith variable in the VAR statement list. The values of the STDi variables can be used to construct univariate confidence limits for the corresponding forecasts. However, such confidence limits do not take into account the covariance of the forecasts.