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The STATESPACE Procedure |
The OUTMODEL= data set contains the estimates of the F and G matrices and their standard errors, the names of the components of the state vector, and the estimates of the innovation covariance matrix. The variables contained in the OUTMODEL= data set are as follows:
Table 18.2 shows an example of the OUTMODEL= data set, with x_{t} = (x_{t},y_{t})', ,and DIMMAX=4. In Table 18.2, F_{i,j} and G_{i,j} are the i,jth elements of F and G respectively. Note that all elements for F_4 are missing because F is a 3 ×3 matrix.
Table 18.2: Value in the OUTMODEL= Data SetObs | STATEVEC | F_1 | F_2 | F_3 | F_4 | G_1 | G_2 | SIG_1 | SIG_2 |
1 | X(T;T) | 0 | 0 | 1 | . | 1 | 0 | _{1,1} | _{1,2} |
2 | STD | . | . | . | . | . | . | . | . |
3 | Y(T;T) | F_{2,1} | F_{2,2} | F_{2,3} | . | 0 | 1 | _{2,1} | _{2,2} |
4 | STD | std F_{2,1} | std F_{2,2} | std F_{2,3} | . | . | . | . | . |
5 | X(T+1;T) | F_{3,1} | F_{3,2} | F_{3,3} | . | G_{3,1} | G_{3,2} | . | . |
6 | STD | std F_{3,1} | std F_{3,2} | std F_{3,3} | . | std G_{3,1} | std G_{3,2} | . | . |
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