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The STATESPACE Procedure

Functional Summary

The statements and options used by PROC STATESPACE are summarized in the following table.

Description Statement Option
Input Data Set Options   
specify the input data setPROC STATESPACEDATA=
prevent subtraction of sample meanPROC STATESPACENOCENTER
specify the ID variableID 
specify the observed series and differencingVAR 
   
Options for Autoregressive Estimates   
specify the maximum orderPROC STATESPACEARMAX=
specify maximum lag for autocovariancesPROC STATESPACELAGMAX=
output only minimum AIC modelPROC STATESPACEMINIC
specify the amount of detail printedPROC STATESPACEPRINTOUT=
write preliminary AR models to a data setPROC STATESPACEOUTAR=
   
Options for Canonical Correlation Analysis  
print the sequence of canonical correlationsPROC STATESPACECANCORR
specify upper limit of dimension of state vectorPROC STATESPACEDIMMAX=
specify the minimum number of lagsPROC STATESPACEPASTMIN=
specify the multiplier of the degrees of freedomPROC STATESPACESIGCORR=
   
Options for State Space Model Estimation  
specify starting valuesINITIAL 
print covariance matrix of parameter estimatesPROC STATESPACECOVB
specify the convergence criterionPROC STATESPACEDETTOL=
specify the convergence criterionPROC STATESPACEPARMTOL=
print the details of the iterationsPROC STATESPACEITPRINT
specify an upper limit of the number of lagsPROC STATESPACEKLAG=
specify maximum number of iterations allowedPROC STATESPACEMAXIT=
suppress the final estimationPROC STATESPACENOEST
write the state space model parameter estimates to an output data setPROC STATESPACEOUTMODEL=
use conditional least squares for final estimatesPROC STATESPACERESIDEST
specify criterion for testing for singularityPROC STATESPACESINGULAR=
   
Options for Forecasting   
start forecasting before end of the input dataPROC STATESPACEBACK=
specify the time interval between observationsPROC STATESPACEINTERVAL=
specify multiple periods in the time seriesPROC STATESPACEINTPER=
specify how many periods to forecastPROC STATESPACELEAD=
specify the output data set for forecastsPROC STATESPACEOUT=
print forecastsPROC STATESPACEPRINT
   
Options to Specify the State Space Model  
specify the state vectorFORM 
specify the parameter valuesRESTRICT 
   
BY Groups   
specify BY-group processingBY 
   
Printing   
suppresses all printed outputNOPRINT 

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