topic Re: Proc Statespace Procedure in SAS Forecasting and Econometrics

Proc Statespace Procedure

chemicalab — Wed, 20 Mar 2013 10:50:01 GMT

Hi all,

I am reading a bit about state space procedure and i was wondering if someone could provide with an example on how the syntax should look like when forecasting for example Sales (y) using various X1...Xn

as predictors. Cause i cant seem to find some starightforward synatx for that

Thnx in advance

Re: Proc Statespace Procedure

udo_sas — Wed, 20 Mar 2013 12:44:52 GMT

Hello -

There are various forms of the state space model in use.

The form of the state space model used by the STATESPACE procedure is based on Akaike and covers a specific formulation only.

The UCM procedure (http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#ucm_toc.htm) provides access to a more flexible approach, but is restricted to one dependent variable. The new SSM procedure (http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#ssm_toc.htm - experimental with 9.3) provides access to the broadest range of state space models (including multiple dependent) and extents the UCM procedure.

This new procedure is a much more powerful and general tool for state space modeling than the old STATESPACE procedure, in fact the STATESPACE procedure should now be considered somewhat obsolete and superseded by SSM.

You will find examples for UCM and SSM syntax in the respective chapters of documentation.

Hope that helps,

Udo

Re: Proc Statespace Procedure

ets_kps — Wed, 20 Mar 2013 14:28:27 GMT

Just to add a bit to Udo's response....

There are full, runnable examples of UCM and SSM here.

This example seems closest to your needs.

Best of luck-Ken

Re: Proc Statespace Procedure

chemicalab — Tue, 26 Mar 2013 09:05:25 GMT

Thank you guys for the responses, they have been helpful