https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/PROC-SSM-Dynamic-Factor-Model/m-p/822056#M4456 <P>I need help with coding this state space dynamic factor model in proc ssm.&nbsp;I appreciate any help on this. Thanks in advance.</P><P>&nbsp;</P><P>Observation equation:</P><P><FONT size="5">GDP<FONT size="3">It&nbsp;<FONT size="5">=GDP<FONT size="3">t</FONT> +<FONT size="6">e</FONT><FONT size="3">It</FONT></FONT></FONT></FONT></P><P><FONT size="5">GDP<FONT size="3">Et</FONT>=GDP<FONT size="3">t</FONT> +<FONT size="6">e</FONT><FONT size="3">Et</FONT></FONT></P><P>State equation:</P><P><FONT size="5">GDP<FONT size="3">t</FONT>=µ*(1-ℊ) + ℊ*GDP<FONT size="3">t</FONT> +<FONT size="6">e</FONT><FONT size="3">Gt</FONT></FONT></P><P><FONT size="5"><FONT size="3">where (<FONT size="6">e</FONT>Gt,<FONT size="6">e</FONT>It,<FONT size="6">e</FONT>Et)' ~iidN(0,∑) and ∑=( <FONT size="6">sigma_sq</FONT></FONT><SPAN><FONT size="3">GG</FONT>&nbsp;</SPAN><FONT size="3">&nbsp;<FONT size="6">0 0</FONT>, <FONT size="6">0 sigma_sq<SPAN><FONT size="3">II</FONT> sigma_sq<FONT size="3">IB</FONT></SPAN>&nbsp;, 0 sigma_sq<SPAN><FONT size="3">BI</FONT> sigma_sq<FONT size="3">BB</FONT></SPAN>)</FONT></FONT></FONT></P><P><FONT size="5"><FONT size="3">&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;&nbsp;</FONT></FONT><FONT size="5"><FONT size="3"><FONT size="5"><SPAN><BR />&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<BR /><BR /><BR /></SPAN></FONT></FONT></FONT></P><P>&nbsp;</P><P><FONT size="5"><FONT size="3"><FONT size="5"><SPAN>&nbsp;</SPAN></FONT></FONT></FONT></P><P>&nbsp;</P><P>&nbsp;</P><P>&nbsp;</P> Thu, 07 Jul 2022 13:41:50 GMT mawuli_0007 2022-07-07T13:41:50Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/PROC-SSM-Dynamic-Factor-Model/m-p/822058#M4455 <P>I need help with coding this state space dynamic factor model in proc ssm.&nbsp;I appreciate any help on this. Thanks in advance.</P><P>&nbsp;</P><P>Observation equation:</P><P><FONT size="5">GDP<FONT size="3">It&nbsp;=<FONT size="5">GDP</FONT>t +<FONT size="6">e</FONT>It</FONT></FONT></P><P><FONT size="5">GDP<FONT size="3">Et</FONT>=GDP<FONT size="3">t</FONT> +<FONT size="6">e</FONT><FONT size="3">Et</FONT></FONT></P><P>State equation:</P><P><FONT size="5">GDP<FONT size="3">t</FONT>=µ*(1-ℊ) + ℊ*GDP<FONT size="3">t</FONT> +<FONT size="6">e</FONT><FONT size="3">Gt</FONT></FONT></P><P><FONT size="5"><FONT size="3">where (<FONT size="6">e</FONT>Gt,<FONT size="6">e</FONT>It,<FONT size="6">e</FONT>Et)' ~iidN(0,∑) and ∑=( <FONT size="6">sigma_sq</FONT></FONT><SPAN><FONT size="3">GG</FONT>&nbsp;</SPAN><FONT size="3">&nbsp;<FONT size="6">0 0</FONT><FONT size="5">,</FONT> <FONT size="6">0 sigma_sq<SPAN><FONT size="3">II&nbsp;</FONT>sigma_sq<FONT size="3">IB</FONT></SPAN>&nbsp;, 0 sigma_sq<SPAN><FONT size="3">BI</FONT> sigma_sq<FONT size="3">BB</FONT></SPAN>)</FONT></FONT></FONT></P><P>&nbsp;</P><P><FONT size="5">Parameters=(µ,ℊ,<FONT size="3"><FONT size="6">sigma_sq</FONT></FONT><SPAN><FONT size="3">GG</FONT></SPAN> ,<FONT size="3"><FONT size="6">sigma_sq<FONT size="3"><SPAN>II</SPAN></FONT></FONT></FONT>&nbsp;,<FONT size="3"><FONT size="6"><SPAN>sigma_sq<FONT size="3">IB</FONT></SPAN></FONT></FONT> ,<FONT size="3"><FONT size="6">sigma_sq<FONT size="3"><SPAN>BI</SPAN></FONT></FONT></FONT> ,<FONT size="3"><FONT size="6"><SPAN>sigma_sq<FONT size="3">BB</FONT>)</SPAN></FONT></FONT></FONT></P> Thu, 07 Jul 2022 13:47:41 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/PROC-SSM-Dynamic-Factor-Model/m-p/822058#M4455 mawuli_0007 2022-07-07T13:47:41Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/PROC-SSM-Dynamic-Factor-Model/m-p/822056#M4456 <P>I need help with coding this state space dynamic factor model in proc ssm.&nbsp;I appreciate any help on this. Thanks in advance.</P><P>&nbsp;</P><P>Observation equation:</P><P><FONT size="5">GDP<FONT size="3">It&nbsp;<FONT size="5">=GDP<FONT size="3">t</FONT> +<FONT size="6">e</FONT><FONT size="3">It</FONT></FONT></FONT></FONT></P><P><FONT size="5">GDP<FONT size="3">Et</FONT>=GDP<FONT size="3">t</FONT> +<FONT size="6">e</FONT><FONT size="3">Et</FONT></FONT></P><P>State equation:</P><P><FONT size="5">GDP<FONT size="3">t</FONT>=µ*(1-ℊ) + ℊ*GDP<FONT size="3">t</FONT> +<FONT size="6">e</FONT><FONT size="3">Gt</FONT></FONT></P><P><FONT size="5"><FONT size="3">where (<FONT size="6">e</FONT>Gt,<FONT size="6">e</FONT>It,<FONT size="6">e</FONT>Et)' ~iidN(0,∑) and ∑=( <FONT size="6">sigma_sq</FONT></FONT><SPAN><FONT size="3">GG</FONT>&nbsp;</SPAN><FONT size="3">&nbsp;<FONT size="6">0 0</FONT>, <FONT size="6">0 sigma_sq<SPAN><FONT size="3">II</FONT> sigma_sq<FONT size="3">IB</FONT></SPAN>&nbsp;, 0 sigma_sq<SPAN><FONT size="3">BI</FONT> sigma_sq<FONT size="3">BB</FONT></SPAN>)</FONT></FONT></FONT></P><P><FONT size="5"><FONT size="3">&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;&nbsp;</FONT></FONT><FONT size="5"><FONT size="3"><FONT size="5"><SPAN><BR />&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<BR /><BR /><BR /></SPAN></FONT></FONT></FONT></P><P>&nbsp;</P><P><FONT size="5"><FONT size="3"><FONT size="5"><SPAN>&nbsp;</SPAN></FONT></FONT></FONT></P><P>&nbsp;</P><P>&nbsp;</P><P>&nbsp;</P> Thu, 07 Jul 2022 13:41:50 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/PROC-SSM-Dynamic-Factor-Model/m-p/822056#M4456 mawuli_0007 2022-07-07T13:41:50Z