I would lije to know How with the procedures os ETS is posible to perform an state space models with exogenous covariates (Kallman filter)
(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.
Message was edited by: RolCor
Registration is open! SAS is returning to Vegas for an AI and analytics experience like no other! Whether you're an executive, manager, end user or SAS partner, SAS Innovate is designed for everyone on your team. Register for just $495 by 12/31/2023.
If you are interested in speaking, there is still time to submit a session idea. More details are posted on the website.