Functional Summary

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 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

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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