You will have to send me your full code (data and program) and the article for me to comment any further.  My email is rajesh.selukar@sas.com ... View more

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)                                                                                                                        ... View more

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)                                                                                                                        ... View more