https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/State-space-modell-with-exogenous-covariates-Kallman-Filter/m-p/39738#M170 Hello<BR /> I would lije to know How with the procedures os ETS is posible to perform an state space models with exogenous covariates (Kallman filter)<BR /> (1) Y(t)=X*Z(t)+€<BR /> (2) Z(t)= B*(Z(t-1)+ M(t)+E<BR /> <BR /> X: Vector of explaiden variables<BR /> M: Vector of exogenous covariates.<BR /> B: vector autoregresive.<BR /> <BR /> I have been programing this problems using SAS/IML solving the basic linear space modelling, but is strong and long program, is posible to perform this using UCM or ARIMA procedures? I don't know how to specify the Z(t-1) and the vector M (t), and the estimates B.<BR /> Thnaks a lot for your help.<BR /> Rolando. Message was edited by: RolCor Tue, 02 Jun 2009 11:22:57 GMT deleted_user 2009-06-02T11:22:57Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/State-space-modell-with-exogenous-covariates-Kallman-Filter/m-p/39738#M170 Hello<BR /> I would lije to know How with the procedures os ETS is posible to perform an state space models with exogenous covariates (Kallman filter)<BR /> (1) Y(t)=X*Z(t)+€<BR /> (2) Z(t)= B*(Z(t-1)+ M(t)+E<BR /> <BR /> X: Vector of explaiden variables<BR /> M: Vector of exogenous covariates.<BR /> B: vector autoregresive.<BR /> <BR /> I have been programing this problems using SAS/IML solving the basic linear space modelling, but is strong and long program, is posible to perform this using UCM or ARIMA procedures? I don't know how to specify the Z(t-1) and the vector M (t), and the estimates B.<BR /> Thnaks a lot for your help.<BR /> Rolando. Message was edited by: RolCor Tue, 02 Jun 2009 11:22:57 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/State-space-modell-with-exogenous-covariates-Kallman-Filter/m-p/39738#M170 deleted_user 2009-06-02T11:22:57Z