SAS_StateSpaceModel

[Khaladdin]

Surely. So, I have a datasets that time period is one year. Each group represents each second for this datasets.

[Rick_SAS]

How many observations in each BY group? What do you hope to learn from your analysis?

[Khaladdin]

It works very well. Thanks a lot.

[Khaladdin]

each group has at least 10 observations. I will just apply state space model for a variable that I want to examine.

[Rick_SAS]

Can you summarize the improvement? Run time went from three months to ... what? Three hours?

[Khaladdin]

As you advised, I run the following codes: 

     proc printto log="F:\mylog\log.log"; 
     run;

     proc ucm data=work
     noprint;
     by group; 
     model price:
     irregular;
     level;
     estimate outest=work1;
     run;

     proc transpose data=work1 (keep=group component estimate)
     out=work2;
     by group;
     id component;
     run;

And it takes just three hours 🙂