The STATESPACE Procedure

Functional Summary

Table 35.1 summarizes the statements and options used by PROC STATESPACE.

Table 35.1: 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

PRINT

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