PROC SSM: Dynamic Factor Model

[mawuli_0007]

I need help with coding this state space dynamic factor model in proc ssm. I appreciate any help on this. Thanks in advance.

Observation equation:

GDPIt =GDPt +eIt

GDPEt=GDPt +eEt

State equation:

GDPt=µ*(1-ℊ) + ℊ*GDPt +eGt

where (eGt,eIt,eEt)' ~iidN(0,∑) and ∑=( sigma_sqGG  0 0, 0 sigma_sqII sigma_sqIB , 0 sigma_sqBI sigma_sqBB)

Parameters=(µ,ℊ,sigma_sqGG ,sigma_sqII ,sigma_sqIB ,sigma_sqBI ,sigma_sqBB)

[mawuli_0007]

I need help with coding this state space dynamic factor model in proc ssm. I appreciate any help on this. Thanks in advance.

Observation equation:

GDPIt =GDPt +eIt

GDPEt=GDPt +eEt

State equation:

GDPt=µ*(1-ℊ) + ℊ*GDPt +eGt

where (eGt,eIt,eEt)' ~iidN(0,∑) and ∑=( sigma_sqGG  0 0, 0 sigma_sqII sigma_sqIB , 0 sigma_sqBI sigma_sqBB)