The SSM Procedure
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Overview
- Getting Started
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Syntax
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DetailsState Space Model and NotationTypes of Sequence DataOverview of Model Specification SyntaxFiltering, Smoothing, Likelihood, and Structural Break DetectionEstimation of User-Specified Linear Combination of State ElementsContrasting PROC SSM with Other SAS Procedures Predefined Trend ModelsPredefined Structural ModelsCovariance ParameterizationMissing ValuesComputational IssuesDisplayed OutputODS Table NamesODS Graph NamesOUT= Data Set
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ExamplesBivariate Basic Structural Model Panel Data: Random-Effects and Autoregressive ModelsBackcasting, Forecasting, and InterpolationLongitudinal Data: Smoothing of Repeated MeasuresA User-Defined Trend ModelModel with Multiple ARIMA ComponentsDynamic Factor ModelingDiagnostic Plots and Structural Break AnalysisLongitudinal Data: Variable Bandwidth SmoothingA Transfer Function Model for the Gas Furnace DataPanel Data: Dynamic Panel Model for the Cigar DataMultivariate Modeling: Long-Term Temperature TrendsBivariate Model: Sales of Mink and Muskrat FursFactor Model: Now-Casting the US EconomyLongitudinal Data: Lung Function Analysis
- References
As explained in the section Likelihood Computation and Model Fitting Phase, the model parameters are estimated by nonlinear optimization of the likelihood. This process is not guaranteed to succeed. For some data sets, the optimization algorithm can fail to converge. Nonconvergence can result from a number of causes, including flat or ridged likelihood surfaces and ill-conditioned data. It is also possible for the algorithm to converge to a point that is not the global optimum of the likelihood.
If you experience convergence problems, consider the following:
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Data that are extremely large or extremely small can adversely affect results because of the internal tolerances used during the filtering steps of the likelihood calculation. Rescaling the data can improve stability.
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Examine your model for redundancies in the included components and regressors. The components or regressors that are nearly collinear to each other can cause the optimization process to become unstable.
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Lack of convergence can indicate model misspecification such as unidentifiable model or a violation of the normality assumption.