The SSM Procedure
-
Overview
- Getting Started
-
Syntax
-
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
-
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
The SSM procedure assigns a name to each table it creates. You can use these names to refer to the table when you use the Output Delivery System (ODS) to select tables and create output data sets. These names are listed in Table 27.9.
Table 27.9: ODS Tables Produced by PROC SSM
|
ODS Table Name |
Description |
Statement |
Option |
|---|---|---|---|
|
Tables That Summarize the Model Information |
|||
|
ModelSummary |
Summary information about the underlying state space model |
Default |
|
|
IdInformation |
Summary information about the ID variable |
Default |
|
|
ResponseInfo |
Summary information about the response variables |
Default |
|
|
StateSummary |
Summary information about the model state vector |
STATEINFO |
|
|
DiffuseStateSummary |
Summary information about the diffuse initial state |
STATEINFO |
|
|
Tables Related to Model Parameters and the Likelihood |
|||
|
ConvergenceStatus |
Convergence status of the estimation process |
Default |
|
|
RegressionEstimates |
Estimates of the regression parameters |
Default |
|
|
StateRegressionEstimates |
Estimates of the state regression parameters |
W |
|
|
FixedStateEstimates |
Estimates of time-invariant, non-stochastic state subsections |
Default |
|
|
NamedParameterEstimates |
Estimates of the parameters specified in the PARMS statement |
PARMS |
Default |
|
ParameterEstimates |
Estimates of the unknown elements in the model system matrices |
Default |
|
|
DisturbanceCovariance |
Estimate of the disturbance covariance |
PRINT=COV |
|
|
InitialCovariance |
Estimate of the initial state covariance |
PRINT=COV1 |
|
|
ARCoefficient |
Estimate of the autoregressive coefficient matrix |
PRINT=AR |
|
|
MACoefficient |
Estimate of the moving-average coefficient matrix |
PRINT=MA |
|
|
TransitionMatrix |
Estimate of the state transition matrix |
PRINT=T |
|
|
FitSummary |
Summary of the likelihood-based-fit-statistics |
Default |
|
|
InformationCriteria |
Likelihood-based information criteria |
Default |
|
|
Tables Related to Series and Component Forecasts |
|||
|
Forecasts |
Series forecasts |
PRINT=FILTER |
|
|
SmoothedResponse |
Smoothed series values |
PRINT=SMOOTH |
|
|
FilteredComponent |
Component forecasts |
PRINT=FILTER |
|
|
SmoothedComponent |
Smoothed component |
PRINT=SMOOTH |
|
|
Tables Related to Outlier Detection and Model Quality |
|||
|
AOSummary |
Summary of additive outliers |
Default |
Default |
|
ElementTrendBreakSummary |
Elementwise trend break summary |
CHECKBREAK |
|
|
OverallTrendBreakSummary |
Overall trend break summary |
CHECKBREAK(OVERALL) |
|
|
ElementStatedBreakSummary |
Elementwise state break summary |
CHECKBREAK |
|
|
OverallStateBreakSummary |
Overall state break summary |
CHECKBREAK(OVERALL) |
|
|
MaximalShockSummary |
Summary of maximal state shocks |
MAXSHOCK |
|
|
PRESS |
Prediction error sum of squares |
PRESS |
|