BookmarkSubscribeRSS Feed
deleted_user
Not applicable
Hello
I would lije to know How with the procedures os ETS is posible to perform an state space models with exogenous covariates (Kallman filter)
(1) Y(t)=X*Z(t)+€
(2) Z(t)= B*(Z(t-1)+ M(t)+E

X: Vector of explaiden variables
M: Vector of exogenous covariates.
B: vector autoregresive.

I have been programing this problems using SAS/IML solving the basic linear space modelling, but is strong and long program, is posible to perform this using UCM or ARIMA procedures? I don't know how to specify the Z(t-1) and the vector M (t), and the estimates B.
Thnaks a lot for your help.
Rolando. Message was edited by: RolCor

hackathon24-white-horiz.png

The 2025 SAS Hackathon Kicks Off on June 11!

Watch the live Hackathon Kickoff to get all the essential information about the SAS Hackathon—including how to join, how to participate, and expert tips for success.

YouTube LinkedIn

Discussion stats
  • 0 replies
  • 934 views
  • 0 likes
  • 1 in conversation