Hi all SAS users.
 I ve read some past post about the State space representation and the
kalman filtering in sas but I dont understand clear haw i can perform a
state space model with unobserved componet (estimated jointly) with sas.
I have these representation

Y(t)= X(t)*F(t)+ error1(t) Observed equation

F(t)=B*F(t-1)+U(t) +error2(t) State equation

where X(t), Y(t) and U(t) are observed data.

Any ones known how I can perform this estimation jointly  with sas.
Any coment will be appreciated.

Rolando Coro.
Universidad autobnoma de madrid. Spain.

Hi,

If my memory serves me right, state space modeling can be modelled using proc statespace where you have to then define the model as well as the lag. The sas help has an example on that.

------Original Message------
From: Rolando Coro Gonzalez
Sender: SAS(r) Discussion
To: SAS-L@LISTSERV.UGA.EDU
ReplyTo: Rolando Coro Gonzalez
Subject: State space representation
Sent: Nov 27, 2009 1:56 AM

Hi all SAS users.
 I ve read some past post about the State space representation and the
kalman filtering in sas but I dont understand clear haw i can perform a
state space model with unobserved componet (estimated jointly) with sas.
I have these representation

Y(t)= X(t)*F(t)+ error1(t) Observed equation

F(t)=B*F(t-1)+U(t) +error2(t) State equation

where X(t), Y(t) and U(t) are observed data.

Any ones known how I can perform this estimation jointly  with sas.
Any coment will be appreciated.

Rolando Coro.
Universidad autobnoma de madrid. Spain.


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--
Regards,
Murphy Choy

Certified Advanced Programmer for SAS V9
Certified Basic Programmer for SAS V9