03-20-2013 06:50 AM
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
03-20-2013 08:44 AM
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than the old STATESPACE procedure, in fact the STATESPACE procedure should now be considered somewhat obsolete and superseded by SSM.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,