The SSM Procedure
Functional Summary
Table 1 summarizes the statements and options that control the SSM procedure. Most commonly needed scenarios are listed; for more information, see the individual statements.
Table 1: PROC SSM Functional Summary
| Description | Statement | Option |
|---|---|---|
| Data Set Options | ||
| Specifies the input data set | PROC SSM | DATA= |
| Writes series and component forecasts to an output data set | OUTPUT | OUT= |
| Model Specification Options | ||
| Specifies the index variable | ID | |
| Defines variables as model parameters | PARMS | |
| Specifies a response variable and the associated observation equation | MODEL | |
| Specifies a state subsection | STATE | |
| Specifies the transition matrix of a state subsection | STATE | T |
| Specifies the disturbance covariance matrix of a state subsection | STATE | COV |
| Specifies the size of the diffuse initial condition of a state subsection | STATE | A1 |
| Specifies the initial covariance matrix of a state subsection | STATE | COV1 |
| Specifies a state subsection for a predefined structural model | STATE | TYPE= |
| Specifies the regressors in a state equation | STATE | W |
| Specifies the input vector in a state equation | STATE | SINPUT= |
| Specifies a component | COMPONENT | |
| Specifies a predefined trend component | TREND | |
| Likelihood Optimization Process Control Options | ||
| Specifies the optimization technique | PROC SSM | OPTIMIZER(TECH=) |
| Limits the number of iterations | PROC SSM | OPTIMIZER(MAXITER=) |
| Outlier and Structural Break Detection Options | ||
| Turns on the search for additive outliers (AO) | Default | |
| Turns on the search for structural breaks in a state subsection | STATE | CHECKBREAK |
| Turns on the search for structural breaks in a state subsection associated with a trend | TREND | CHECKBREAK |
| Specifies the significance level for additive outlier tests | OUTPUT | AO(ALPHA= ) |
| Limits the reported number of additive outliers | OUTPUT | AO(MAXNUM= ) |
| Limits the reported number of additive outliers to a percentage of the series length | OUTPUT | AO(MAXPCT= ) |
| Specifies the significance level for structural break tests | OUTPUT | BREAK(ALPHA= ) |
| Limits the reported number of structural breaks | OUTPUT | BREAK(MAXNUM= ) |
| Limits the reported number of structural breaks to a percentage of the series length | OUTPUT | BREAK(MAXPCT= ) |
| Turns on the search for maximal state shock | OUTPUT | MAXSHOCK |
| Graphical Residual and Outlier Analysis Options | ||
| Creates a panel of plots that consists of residual normality plots | PROC SSM | PLOTS=RESIDUAL(NORMAL) |
| Creates the standardized residual plot against time | PROC SSM | PLOTS=RESIDUAL(STD) |
| Creates a panel of plots that consists of prediction error normality plots | PROC SSM | PLOTS=AO(NORMAL) |
| Creates the standardized prediction error plot against time | PROC SSM | PLOTS=AO(STD) |
| Creates the plot of maximal state shock chi-square statistics against time | PROC SSM | PLOTS=MAXSHOCK |
| Output Control Options | ||
| Specifies the significance level of the forecast confidence limits | OUTPUT | ALPHA= |
| Prints the prediction error sum of squares table | OUTPUT | PRESS |
| Specifies a linear combination of components to be output | EVAL | |
| Global Printing and Plotting Options | ||
| Turns off all printing for the procedure | PROC SSM | NOPRINT |
| Turns on all printing options for the procedure | PROC SSM | PRINTALL |
| Turns off all plotting for the procedure | PROC SSM | PLOTS=NONE |
| Turns on all plotting options for the procedure | PROC SSM | PLOTS=ALL |
| Printing State Equation System Matrix Options | ||
| Prints the transition matrix that is associated with a state subsection | STATE | PRINT=T |
| Prints the disturbance covariance matrix that is associated with a state subsection | STATE | PRINT=COV |
| Prints the initial covariance matrix that is associated with a state subsection | STATE | PRINT=COV1 |
| Prints the autoregressive coefficient matrix that is associated with a state subsection | STATE | PRINT=AR |
| Prints the moving average coefficient matrix that is associated with a state subsection | STATE | PRINT=MA |
| Printing Component, Series Forecast, and Smoothed Estimate Options | ||
| Prints the series forecasts | MODEL | PRINT=FILTER |
| Prints the full-sample estimates of missing series values | MODEL | PRINT=SMOOTH |
| Prints the smoothed trend estimate | TREND | PRINT=SMOOTH |
| Prints the filtered trend estimate | TREND | PRINT=FILTER |
| Prints the smoothed component estimate | COMPONENT | PRINT=SMOOTH |
| Prints the filtered component estimate | COMPONENT | PRINT=FILTER |
| Prints the smoothed component estimate | EVAL | PRINT=SMOOTH |
| Prints the filtered component estimate | EVAL | PRINT=FILTER |
| BY Groups | ||
| Specifies BY-group processing | BY | |
Last updated: December 20, 2021