The STATESPACE Procedure

Getting Started

The following introductory example uses simulated data for two variables X and Y. The following statements generate the X and Y series.

   data in;
      x=10;  y=40;
      x1=0; y1=0;
      a1=0; b1=0;
      iseed=123;
      do t=-100 to 200;
         a=rannor(iseed);
         b=rannor(iseed);
         dx = 0.5*x1 + 0.3*y1 + a - 0.2*a1 - 0.1*b1;
         dy = 0.3*x1 + 0.5*y1 + b;
         x = x + dx + .25;
         y = y + dy + .25;
         if t >= 0 then output;
         x1 = dx; y1 = dy;
         a1 = a; b1 = b;
      end;
      keep t x y;
   run;

The simulated series X and Y are shown in Figure 18.1.

Figure 18.1: Example Series

Automatic State Space Model Selection

Specifying the State Space Model

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